UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23002
LATTICE STRATEGIES TRUST
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
Copy to:
John V. O’Hanlon, Esq.
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, MA 02110-2605
Registrant’s telephone number, including area code: (610) 386-4068
Date of fiscal year end: September 30
Date of reporting period: March 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
A MESSAGE FROM THE PRESIDENT
Dear Shareholders:
Thank you for investing in Hartford Multifactor Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report for the period from October 1, 2020 through March 31, 2021.
Market Review
During the six months ended March 31, 2021, U.S. stocks, as measured by the S&P 500 Index,1 gained 19.07%. The strong returns for the period reflect a growing belief
among investors that the worst days of the coronavirus (COVID-19) pandemic may soon be behind us and that a sustained period of global economic growth seems within reach.
Optimism was often hard to sustain during the difficult months of 2020. The six-month period covered in this report followed many months of soaring unemployment, business lockdowns, face-mask requirements, and social-distancing measures. Governments around the world, including here in the U.S., averted further economic disruption by providing unprecedented levels of monetary and fiscal support.
November 2020 marked the resolution of a contentious U.S. presidential election, which was seen as a positive for markets. During the same month, there came the pivotal announcements that a pair of safe and effective COVID-19 vaccines were ready for FDA approval – providing hope that a significant corner in the battle against the virus had been turned.
In late December of 2020, the U.S. Congress passed a major $900 billion pandemic relief bill. For its part, the U.S. Federal Reserve continued to maintain its ongoing policy of near-zero interest rates.
A winter resurgence of COVID-19 infections touched off a wave of new hospitalizations and deaths – more than 500,000 lives lost by March. New viral variants from the United Kingdom and South Africa took root in the U.S., threatening to prolong the pandemic despite a rise in vaccination rates. Nonetheless, by the end of the period, over 165 million COVID-19 vaccine doses had been distributed in the United States.2
Meanwhile, Congress fast-tracked approval of the Biden administration’s proposed $1.9 trillion economic stimulus package. A proposal for an additional $2 trillion in infrastructure spending soon followed. As investors digested the blizzard of new policy initiatives, rates on bellwether 10-year Treasuries rose to nearly 1.75% in mid-March, triggering a new round of market volatility and a fierce debate over a possible return of inflation.
As vaccinations continue to ramp up in the U.S. and abroad, we’re cautiously allowing ourselves to imagine the return of family barbecues, baseball games, re-opened schools, and indoor dining – in a word, normalcy. As we move past the pandemic, it’s still vitally important to maintain a strong relationship with a financial professional, who can confidently guide you through shifting markets while helping you find a good fit within our family of funds.
Thank you again for investing in Hartford Multifactor Exchange-Traded Funds. For the most up-to-date information on our complete selection of mutual funds and exchange-traded funds, please take advantage of all the resources available at hartfordfunds.com.
James Davey
President
Hartford Funds
1 | S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance does not guarantee future results. |
2 | Forbes.com, “40% of U.S. Adults Now Vaccinated, But Here Are All The Countries Doing Even Better”, 4/4/2021. |
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How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records | 60 | |||
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Hartford Longevity Economy ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 03/16/2021 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Hartford Longevity Economy Index (LHLGEX) (the “Index”), which is designed to generate attractive risk-adjusted returns by investing in companies that comprise industries that reflect certain themes that are expected to benefit from the growth of the aging population and the substantial buying power it represents. |
Cumulative Total Returns
for the Period Ending 03/31/2021
Since Inception1 | ||||
Hartford Longevity Economy ETF (NAV Return) | -1.00% | |||
Hartford Longevity Economy ETF (Market Price Return) | -0.88% | |||
Hartford Longevity Economy Index | -0.97% | |||
Russell 3000 Index (Gross) | -0.34% |
1 | Inception: 03/16/2021 |
Information regarding how often shares of the Fund traded on NYSE Arca, Inc. (“NYSE Arca”) at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark descriptions.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.44%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
The Fund is new and has a limited operating history. Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • The Fund’s focus on securities of issuers that are expected to benefit from providing goods and services that are needed by or attractive to the world’s aging populations may affect the Fund’s exposure to certain industries or types of investments. Certain investments in companies focused on longevity and aging solutions may be affected by government regulations or other factors. • Investments focused in a sector, industry or group of industries may increase volatility and risk.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 12.1 | % | ||
Consumer Discretionary | 17.3 | |||
Consumer Staples | 4.8 | |||
Financials | 10.7 | |||
Health Care | 22.3 | |||
Industrials | 2.4 | |||
Information Technology | 27.6 | |||
Real Estate | 1.5 | |||
Utilities | 1.2 | |||
|
| |||
Total | 99.9 | % | ||
|
| |||
Other Assets & Liabilities | 0.1 | |||
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| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 2 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region. |
Average Annual Total Returns
for the Periods Ending 03/31/2021
6 Months1 | 1 Year | 5 Year | Since Inception2 | |||||||||||||
Multifactor Developed Markets (ex-US) ETF (NAV Return) | 16.39% | 38.88% | 7.20% | 5.59% | ||||||||||||
Multifactor Developed Markets (ex-US) ETF (Market Price Return) | 16.31% | 39.02% | 7.16% | 5.57% | ||||||||||||
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | 16.48% | 39.10% | 7.32% | 5.75% | ||||||||||||
MSCI World ex USA Index (Net) | 20.53% | 45.86% | 8.92% | 5.45% |
1 | Not Annualized |
2 | Inception: 02/25/2015 |
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark descriptions.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse regulatory, political and economic developments. These risks may be greater in particular geographic regions or countries. • Investments focused in a country, region, sector, industry or group of industries may increase volatility and risk. • Mid-cap securities can have greater risks and volatility than large-cap securities.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 7.7 | % | ||
Consumer Discretionary | 11.0 | |||
Consumer Staples | 11.0 | |||
Energy | 1.5 | |||
Financials | 15.5 | |||
Health Care | 12.3 | |||
Industrials | 14.0 | |||
Information Technology | 6.8 | |||
Materials | 7.1 | |||
Real Estate | 5.3 | |||
Utilities | 6.9 | |||
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| |||
Total | 99.1 | % | ||
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| |||
Short-Term Investments | 2.2 | |||
Other Assets & Liabilities | (1.3 | ) | ||
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| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 3 |
|
Hartford Multifactor Diversified International ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 05/10/2017 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in both developed and emerging markets. |
Average Annual Total Returns
for the Periods Ending 03/31/2021
6 Months1 | 1 Year | Since Inception2 | ||||||||||
Multifactor Diversified International ETF (NAV Return) | 19.32% | 40.54% | 5.45% | |||||||||
Multifactor Diversified International ETF (Market Price Return) | 19.69% | 40.95% | 5.61% | |||||||||
Hartford Multifactor Diversified International Index | 19.68% | 41.18% | 4.31% | 3 | ||||||||
MSCI ACWI ex USA Index (Net) | 21.10% | 49.41% | 8.13% |
1 | Not Annualized |
2 | Inception: 05/10/2017 |
3 | The Hartford Multifactor Diversified International Index commenced operations on 06/28/2019. Reflects returns starting on 06/28/2019. |
Performance information prior to 11/06/2019 reflects the Fund’s performance when it tracked its prior index.
Information regarding how often shares of the Fund traded on Cboe BZX Exchange, Inc. (“Cboe BZX”) at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark descriptions.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse regulatory, political and economic developments. These risks may be greater for investments in emerging markets. • Investments focused in a
particular country, region, sector or industry are subject to greater volatility and risk.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 8.0 | % | ||
Consumer Discretionary | 11.4 | |||
Consumer Staples | 8.6 | |||
Energy | 4.7 | |||
Financials | 19.2 | |||
Health Care | 9.6 | |||
Industrials | 10.9 | |||
Information Technology | 11.6 | |||
Materials | 7.3 | |||
Real Estate | 4.5 | |||
Utilities | 3.5 | |||
|
| |||
Total | 99.3 | % | ||
|
| |||
Short-Term Investments | 0.4 | |||
Other Assets & Liabilities | 0.3 | |||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 4 |
|
Hartford Multifactor Emerging Markets ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index based upon the emerging markets of the world. |
Average Annual Total Returns
for the Periods Ending 03/31/2021
6 Months1 | 1 Year | 5 Year | Since Inception2 | |||||||||||||
Multifactor Emerging Markets ETF (NAV Return) | 25.28% | 49.73% | 5.41% | 1.89% | ||||||||||||
Multifactor Emerging Markets ETF (Market Price Return) | 25.23% | 52.97% | 5.56% | 1.99% | ||||||||||||
Hartford Multifactor Emerging Markets Equity Index3 | 25.67% | 50.58% | — | 5.01% | ||||||||||||
MSCI Emerging Markets Index (Net) | 22.43% | 58.39% | 12.07% | 7.22% |
1 | Not Annualized |
2 | Inception: 02/25/2015 |
3 | The Hartford Multifactor Emerging Markets Equity Index commenced operations on 06/28/2019. Reflects returns starting on 06/28/2019. |
Performance information prior to 09/11/2019 reflects the Fund’s performance when it tracked its prior index.
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark description.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.44%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse regulatory, political and economic developments. These risks may be greater for
investments in emerging markets and in particular geographic regions or countries. • Investments focused in a country, region, sector, industry or group of industries may increase volatility and risk.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 10.5 | % | ||
Consumer Discretionary | 14.0 | |||
Consumer Staples | 6.9 | |||
Energy | 5.9 | |||
Financials | 20.1 | |||
Health Care | 2.0 | |||
Industrials | 2.9 | |||
Information Technology | 21.7 | |||
Materials | 9.4 | |||
Real Estate | 2.3 | |||
Utilities | 3.7 | |||
|
| |||
Total | 99.4 | % | ||
|
| |||
Short-Term Investments | 0.1 | |||
Other Assets & Liabilities | 0.5 | |||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 5 |
|
Hartford Multifactor Small Cap ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 03/23/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of small capitalization exchange traded equity securities. |
Average Annual Total Returns
for the Periods Ending 03/31/2021
6 Months1 | 1 Year | 5 Year | Since Inception2 | |||||||||||||
Multifactor Small Cap ETF (NAV Return) | 48.10% | 87.63% | 12.23% | 9.74% | ||||||||||||
Multifactor Small Cap ETF (Market Price Return) | 48.28% | 87.67% | 12.24% | 9.72% | ||||||||||||
Hartford Multifactor Small Cap Index3 | 48.39% | 88.13% | — | 21.15% | ||||||||||||
Russell 2000 Index (Gross) | 48.05% | 94.85% | 16.35% | 11.32% |
1 | Not Annualized |
2 | Inception: 03/23/2015 |
3 | The Hartford Multifactor Small Cap Index commenced operations on 06/28/2019. Reflects returns starting on 06/28/2019. |
Performance information prior to 11/06/2019 reflects the Fund’s performance when it tracked its prior index.
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark descriptions.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.34%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • Small cap securities can have greater risk and volatility than large-cap securities. • Investments focused in a particular sector or industry are subject to greater market volatility risk.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 4.3 | % | ||
Consumer Discretionary | 14.5 | |||
Consumer Staples | 5.8 | |||
Energy | 3.6 | |||
Financials | 16.0 | |||
Health Care | 16.4 | |||
Industrials | 13.3 | |||
Information Technology | 13.1 | |||
Materials | 4.2 | |||
Real Estate | 6.4 | |||
Utilities | 1.2 | |||
|
| |||
Total | 98.8 | % | ||
|
| |||
Short-Term Investments | 0.9 | |||
Other Assets & Liabilities | 0.3 | |||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 6 |
|
Hartford Multifactor US Equity ETF |
Fund Overview
March 31, 2021 (Unaudited)
Inception 02/25/2015 Sub-advised by Mellon Investments Corporation | Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities. |
Average Annual Total Returns
for the Periods Ending 03/31/2021
6 Months1 | 1 Year | 5 Year | Since Inception2 | |||||||||||||
Multifactor US Equity ETF (NAV Return) | 20.12% | 48.05% | 11.92% | 9.11% | ||||||||||||
Multifactor US Equity ETF (Market Price Return) | 20.40% | 48.36% | 11.96% | 9.14% | ||||||||||||
Hartford Multifactor Large Cap Index3 | 20.26% | 48.36% | — | 13.25% | ||||||||||||
Russell 1000 Index (Gross) | 20.41% | 60.59% | 16.66% | 13.25% |
1 | Not Annualized |
2 | Inception: 02/25/2015 |
3 | The Hartford Multifactor Large Cap Index commenced operations on 06/28/2019. Reflects returns starting on 06/28/2019. |
Performance information prior to 09/11/2019 reflects the Fund’s performance when it tracked its prior index.
Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the reports is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles.
ETF shares are bought and sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See “Benchmark Glossary” for benchmark descriptions.
The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 03/31/2021.
Important Risks
Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. • Investments focused in a sector, industry or group of industries may increase volatility and risk.
Composition by Sector(1)
as of 03/31/2021
Sector | Percentage of Net Assets | |||
Equity Securities | ||||
Communication Services | 9.0 | % | ||
Consumer Discretionary | 11.3 | |||
Consumer Staples | 8.0 | |||
Energy | 1.2 | |||
Financials | 8.6 | |||
Health Care | 15.5 | |||
Industrials | 8.7 | |||
Information Technology | 24.5 | |||
Materials | 4.2 | |||
Real Estate | 3.6 | |||
Utilities | 5.0 | |||
|
| |||
Total | 99.6 | % | ||
|
| |||
Short-Term Investments | 0.6 | |||
Other Assets & Liabilities | (0.2 | ) | ||
|
| |||
Total | 100.0 | % | ||
|
|
(1) | A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
| 7 |
|
Hartford Multifactor ETFs |
Benchmark Glossary (Unaudited)
Hartford Longevity Economy Index seeks to generate attractive risk-adjusted returns by investing in companies that comprise industries that reflect certain themes that are expected to benefit from the growth of the aging population and the substantial buying power it represents.
Hartford Multifactor Diversified International Index seeks to enhance return potential available from investment in developed market (excluding the US) and emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.
Hartford Multifactor Emerging Markets Equity Index seeks to enhance return potential available from investment in emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.
Hartford Multifactor Large Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete market cycle.
Hartford Multifactor Small Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete
market cycle.
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index seeks to address risks and opportunities within developed market stocks located outside the United States by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality.
These indices are unmanaged, and their results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.
MSCI ACWI (All Country World) ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across developed markets (excluding the United States) and emerging market countries.
MSCI Emerging Markets Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across emerging market countries.
MSCI World ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is a free float-adjusted market capitalization index that is designed
to capture large and mid cap representation across developed markets countries – excluding the United States.
These indices are unmanaged, and their results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
Russell 1000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalizations.
Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is an index comprised of 2,000 of the smallest U.S.-domiciled company common stocks based on a combination of their market capitalization and current index membership.
Russell 3000 Index (Gross) is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalization.
| 8 |
|
Hartford Multifactor ETFs |
Expense Examples (Unaudited)
Your Fund’s Expenses
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including investment management fees and certain other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period of October 1, 2020 through March 31, 2021, except as indicated below. To the extent a Fund was subject to acquired fund fees and expenses during the period, acquired fund fees and expenses are not included in the annualized expense ratio below.
Actual Expenses
The first set of columns of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second set of columns of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the second set of columns of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would be higher. Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (including extraordinary expenses and interest expense). Expenses are equal to a Fund’s annualized expense ratio multiplied by average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Actual Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||
Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Expenses paid during the period October 1, 2020 through March 31, 2021 | Beginning Account Value October 1, 2020 | Ending Account Value March 31, 2021 | Expenses paid during the period October 1, 2020 through March 31, 2021 | Annualized expense ratio | ||||||||||||||||||||||
Hartford Longevity Economy ETF(1) |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 990.00 | $ | 0.18 | $ | 1,000.00 | $ | 1,022.74 | $ | 2.22 | 0.44 | % | |||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,163.90 | $ | 1.56 | $ | 1,000.00 | $ | 1,023.49 | $ | 1.46 | 0.29 | % | |||||||||||||||
Hartford Multifactor Diversified International ETF |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,193.20 | $ | 1.59 | $ | 1,000.00 | $ | 1,023.49 | $ | 1.46 | 0.29 | % | |||||||||||||||
Hartford Multifactor Emerging Markets ETF |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,252.80 | $ | 2.47 | $ | 1,000.00 | $ | 1,022.74 | $ | 2.22 | 0.44 | % | |||||||||||||||
Hartford Multifactor Small Cap ETF |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,481.00 | $ | 2.10 | $ | 1,000.00 | $ | 1,023.24 | $ | 1.72 | 0.34 | % | |||||||||||||||
Hartford Multifactor US Equity ETF |
| |||||||||||||||||||||||||||
$ | 1,000.00 | $ | 1,201.20 | $ | 1.04 | $ | 1,000.00 | $ | 1,023.98 | $ | 0.96 | 0.19 | % |
(1) | Please note that while the Fund commenced operations on March 16, 2021, the hypothetical expenses paid during the period reflect projected activity for the full six-month period for purposes of comparability. This projection assumes that annualized expense ratio were in effect during the period October 1, 2020 to March 31, 2021. |
| 9 |
|
Hartford Longevity Economy ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% | ||||||||
Automobiles & Components - 1.4% | ||||||||
795 | Ford Motor Co.* | $ | 9,739 | |||||
370 | General Motors Co. | 21,260 | ||||||
11 | Gentherm, Inc.* | 815 | ||||||
5 | Tesla, Inc.* | 3,340 | ||||||
|
| |||||||
35,154 | ||||||||
|
| |||||||
Banks - 4.1% | ||||||||
464 | Bank of America Corp. | 17,952 | ||||||
185 | Citigroup, Inc. | 13,459 | ||||||
99 | Citizens Financial Group, Inc. | 4,371 | ||||||
224 | Fifth Third Bancorp | 8,389 | ||||||
268 | First Interstate BancSystem, Inc. Class A | 12,339 | ||||||
57 | Hilltop Holdings, Inc. | 1,945 | ||||||
109 | JP Morgan Chase & Co. | 16,593 | ||||||
16 | KeyCorp. | 320 | ||||||
23 | PNC Financial Services Group, Inc. | 4,034 | ||||||
209 | Regions Financial Corp. | 4,318 | ||||||
19 | SVB Financial Group* | 9,379 | ||||||
7 | Truist Financial Corp. | 408 | ||||||
128 | U.S. Bancorp | 7,080 | ||||||
|
| |||||||
100,587 | ||||||||
|
| |||||||
Capital Goods - 1.9% | ||||||||
17 | BWX Technologies, Inc. | 1,121 | ||||||
52 | General Dynamics Corp. | 9,441 | ||||||
15 | Huntington Ingalls Industries, Inc. | 3,088 | ||||||
24 | L3Harris Technologies, Inc. | 4,864 | ||||||
32 | Lockheed Martin Corp. | 11,824 | ||||||
12 | Northrop Grumman Corp. | 3,884 | ||||||
16 | Teledyne Technologies, Inc.* | 6,618 | ||||||
86 | Textron, Inc. | 4,823 | ||||||
3 | TransDigm Group, Inc.* | 1,764 | ||||||
|
| |||||||
47,427 | ||||||||
|
| |||||||
Consumer Durables & Apparel - 3.2% | ||||||||
17 | Acushnet Holdings Corp. | 703 | ||||||
102 | Century Communities, Inc.* | 6,153 | ||||||
5 | Deckers Outdoor Corp.* | 1,652 | ||||||
66 | Garmin Ltd. | 8,702 | ||||||
26 | Hanesbrands, Inc. | 511 | ||||||
15 | Hasbro, Inc. | 1,442 | ||||||
127 | Kontoor Brands, Inc. | 6,163 | ||||||
183 | La-Z-Boy, Inc. | 7,774 | ||||||
152 | Levi Strauss & Co. Class A | 3,634 | ||||||
40 | Mattel, Inc.* | 797 | ||||||
14 | Meritage Homes Corp.* | 1,287 | ||||||
20 | Mohawk Industries, Inc.* | 3,846 | ||||||
76 | NIKE, Inc. Class B | 10,100 | ||||||
1 | NVR, Inc.* | 4,711 | ||||||
66 | Sturm Ruger & Co., Inc. | 4,361 | ||||||
104 | Tempur Sealy International, Inc. | 3,802 | ||||||
65 | Tupperware Brands Corp.* | 1,717 | ||||||
50 | Whirlpool Corp. | 11,017 | ||||||
|
| |||||||
78,372 | ||||||||
|
| |||||||
Consumer Services - 2.0% | ||||||||
49 | Airbnb, Inc. Class A* | 9,209 | ||||||
5 | Booking Holdings, Inc.* | 11,649 | ||||||
67 | Boyd Gaming Corp.* | 3,950 | ||||||
14 | Domino’s Pizza, Inc. | 5,149 | ||||||
171 | Extended Stay America, Inc. | 3,377 | ||||||
4 | Graham Holdings Co. Class B | 2,250 | ||||||
35 | Las Vegas Sands Corp. | 2,127 | ||||||
53 | MGM Resorts International | 2,013 | ||||||
73 | Stride, Inc.* | 2,198 | ||||||
9 | Vail Resorts, Inc. | 2,625 | ||||||
43 | Yum! Brands, Inc. | 4,652 | ||||||
|
| |||||||
49,199 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% - (continued) | ||||||||
Diversified Financials - 4.0% | ||||||||
134 | Ally Financial, Inc. | $ | 6,058 | |||||
42 | Ameriprise Financial, Inc. | 9,763 | ||||||
70 | Artisan Partners Asset Management, Inc. Class A | 3,652 | ||||||
60 | Berkshire Hathaway, Inc. Class B* | 15,328 | ||||||
2 | BlackRock, Inc. | 1,508 | ||||||
29 | Charles Schwab Corp. | 1,890 | ||||||
66 | Equitable Holdings, Inc. | 2,153 | ||||||
45 | Evercore, Inc. Class A | 5,928 | ||||||
25 | Franklin Resources, Inc. | 740 | ||||||
5 | Goldman Sachs Group, Inc. | 1,635 | ||||||
14 | Intercontinental Exchange, Inc. | 1,564 | ||||||
211 | Invesco Ltd. | 5,322 | ||||||
154 | Jefferies Financial Group, Inc. | 4,635 | ||||||
79 | Morgan Stanley | 6,135 | ||||||
22 | Nasdaq, Inc. | 3,244 | ||||||
40 | OneMain Holdings, Inc. | 2,149 | ||||||
12 | PJT Partners, Inc. Class A | 812 | ||||||
71 | Raymond James Financial, Inc. | 8,702 | ||||||
86 | SLM Corp. | 1,545 | ||||||
9 | Stifel Financial Corp. | 577 | ||||||
244 | Synchrony Financial | 9,921 | ||||||
10 | Voya Financial, Inc. | 636 | ||||||
160 | Waddell & Reed Financial, Inc. Class A | 4,008 | ||||||
|
| |||||||
97,905 | ||||||||
|
| |||||||
Food & Staples Retailing - 1.6% | ||||||||
296 | Albertsons Cos., Inc. Class A | 5,645 | ||||||
290 | Kroger Co. | 10,437 | ||||||
139 | Sprouts Farmers Market, Inc.* | 3,700 | ||||||
88 | Walgreens Boots Alliance, Inc. | 4,831 | ||||||
103 | Walmart, Inc. | 13,991 | ||||||
|
| |||||||
38,604 | ||||||||
|
| |||||||
Food, Beverage & Tobacco - 1.2% | ||||||||
60 | Conagra Brands, Inc. | 2,256 | ||||||
80 | Flowers Foods, Inc. | 1,904 | ||||||
76 | General Mills, Inc. | 4,660 | ||||||
36 | Hershey Co. | 5,694 | ||||||
53 | JM Smucker Co. | 6,706 | ||||||
44 | Kellogg Co. | 2,785 | ||||||
73 | Tyson Foods, Inc. Class A | 5,424 | ||||||
|
| |||||||
29,429 | ||||||||
|
| |||||||
Health Care Equipment & Services - 12.8% | ||||||||
92 | Abbott Laboratories | 11,025 | ||||||
6 | ABIOMED, Inc.* | 1,912 | ||||||
10 | Addus HomeCare Corp.* | 1,046 | ||||||
6 | Align Technology, Inc.* | 3,249 | ||||||
10 | Amedisys, Inc.* | 2,648 | ||||||
22 | AMN Healthcare Services, Inc.* | 1,621 | ||||||
29 | Anthem, Inc. | 10,410 | ||||||
77 | Avanos Medical, Inc.* | 3,368 | ||||||
42 | Baxter International, Inc. | 3,542 | ||||||
177 | Centene Corp.* | 11,312 | ||||||
157 | Cerner Corp. | 11,285 | ||||||
10 | Cigna Corp. | 2,417 | ||||||
30 | Corvel Corp.* | 3,078 | ||||||
178 | CVS Health Corp. | 13,391 | ||||||
1 | Danaher Corp. | 225 | ||||||
189 | DaVita, Inc.* | 20,369 | ||||||
83 | Edwards Lifesciences Corp.* | 6,942 | ||||||
77 | Globus Medical, Inc. Class A* | 4,749 | ||||||
36 | HCA Healthcare, Inc. | 6,780 | ||||||
114 | Henry Schein, Inc.* | 7,893 | ||||||
178 | Hologic, Inc.* | 13,240 | ||||||
17 | Humana, Inc. | 7,127 |
The accompanying notes are an integral part of these financial statements.
| 10 |
|
Hartford Longevity Economy ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% - (continued) | ||||||||
Health Care Equipment & Services - 12.8% - (continued) | ||||||||
21 | ICU Medical, Inc.* | $ | 4,314 | |||||
21 | IDEXX Laboratories, Inc.* | 10,276 | ||||||
6 | Integra LifeSciences Holdings Corp.* | 415 | ||||||
4 | Intuitive Surgical, Inc.* | 2,956 | ||||||
70 | Laboratory Corp. of America Holdings* | 17,852 | ||||||
37 | Masimo Corp.* | 8,497 | ||||||
37 | McKesson Corp. | 7,217 | ||||||
66 | Medtronic plc | 7,797 | ||||||
35 | ModivCare, Inc.* | 5,184 | ||||||
106 | Molina Healthcare, Inc.* | 24,779 | ||||||
113 | NextGen Healthcare, Inc.* | 2,045 | ||||||
36 | Novocure Ltd.* | 4,759 | ||||||
29 | Omnicell, Inc.* | 3,766 | ||||||
49 | Quest Diagnostics, Inc. | 6,289 | ||||||
7 | ResMed, Inc. | 1,358 | ||||||
302 | Select Medical Holdings Corp.* | 10,298 | ||||||
55 | STERIS plc | 10,476 | ||||||
33 | Stryker Corp. | 8,038 | ||||||
208 | Telefonica Celular del Paraguay S.A. | 12,636 | ||||||
58 | UnitedHealth Group, Inc. | 21,580 | ||||||
|
| |||||||
318,161 | ||||||||
|
| |||||||
Household & Personal Products - 2.0% | ||||||||
193 | Central Garden & Pet Co. Class A* | 10,015 | ||||||
15 | Clorox Co. | 2,893 | ||||||
106 | Colgate-Palmolive Co. | 8,356 | ||||||
42 | Kimberly-Clark Corp. | 5,840 | ||||||
79 | Nu Skin Enterprises, Inc. Class A | 4,178 | ||||||
73 | Procter & Gamble Co. | 9,886 | ||||||
78 | Spectrum Brands Holdings, Inc. | 6,630 | ||||||
31 | USANA Health Sciences, Inc.* | 3,026 | ||||||
|
| |||||||
50,824 | ||||||||
|
| |||||||
Insurance - 2.6% | ||||||||
75 | Aflac, Inc. | 3,839 | ||||||
38 | Allstate Corp. | 4,366 | ||||||
165 | CNA Financial Corp. | 7,364 | ||||||
229 | CNO Financial Group, Inc. | 5,562 | ||||||
41 | Fidelity National Financial, Inc. | 1,667 | ||||||
108 | Mercury General Corp. | 6,567 | ||||||
207 | MetLife, Inc. | 12,584 | ||||||
96 | Principal Financial Group, Inc. | 5,756 | ||||||
101 | Progressive Corp. | 9,657 | ||||||
34 | Travelers Cos., Inc. | 5,114 | ||||||
69 | Unum Group | 1,920 | ||||||
|
| |||||||
64,396 | ||||||||
|
| |||||||
Media & Entertainment - 10.0% | ||||||||
25 | Activision Blizzard, Inc. | 2,325 | ||||||
11 | Alphabet, Inc. Class A* | 22,688 | ||||||
273 | Altice USA, Inc. Class A* | 8,881 | ||||||
50 | AMC Networks, Inc. Class A* | 2,658 | ||||||
1,397 | ANGI Homeservices, Inc. Class A* | 18,161 | ||||||
93 | Cargurus, Inc.* | 2,216 | ||||||
11 | Charter Communications, Inc. Class A* | 6,787 | ||||||
293 | Comcast Corp. Class A | 15,854 | ||||||
184 | Discovery, Inc. Class A* | 7,997 | ||||||
15 | Electronic Arts, Inc. | 2,031 | ||||||
91 | Facebook, Inc. Class A* | 26,802 | ||||||
46 | IAC/InterActiveCorp* | 9,950 | ||||||
12 | John Wiley & Sons, Inc. Class A | 651 | ||||||
270 | Lions Gate Entertainment Corp. Class A* | 4,037 | ||||||
24 | Madison Square Garden Entertainment Corp.* | 1,963 | ||||||
105 | Match Group, Inc.* | 14,425 | ||||||
16 | Netflix, Inc.* | 8,347 | ||||||
98 | News Corp. Class A | 2,492 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% - (continued) | ||||||||
Media & Entertainment - 10.0% - (continued) | ||||||||
136 | Pinterest, Inc. Class A* | $ | 10,068 | |||||
881 | QuinStreet, Inc.* | 17,884 | ||||||
29 | Roku, Inc.* | 9,447 | ||||||
95 | Snap, Inc. Class A* | 4,968 | ||||||
43 | Take-Two Interactive Software, Inc.* | 7,598 | ||||||
38 | Twitter, Inc.* | 2,418 | ||||||
63 | ViacomCBS, Inc. Class B | 2,841 | ||||||
52 | Walt Disney Co.* | 9,595 | ||||||
7 | Warner Music Group Corp. Class A | 240 | ||||||
236 | World Wrestling Entertainment, Inc. Class A | 12,805 | ||||||
52 | Yelp, Inc.* | 2,028 | ||||||
66 | Zillow Group, Inc. Class C* | 8,556 | ||||||
|
| |||||||
246,713 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 9.5% | ||||||||
219 | AbbVie, Inc. | 23,700 | ||||||
50 | Agilent Technologies, Inc. | 6,357 | ||||||
61 | Alexion Pharmaceuticals, Inc.* | 9,327 | ||||||
39 | Amgen, Inc. | 9,704 | ||||||
10 | Bio-Rad Laboratories, Inc. Class A* | 5,712 | ||||||
82 | Blueprint Medicines Corp.* | 7,973 | ||||||
166 | Bristol-Myers Squibb Co. | 10,480 | ||||||
29 | Charles River Laboratories International, Inc.* | 8,405 | ||||||
31 | Corcept Therapeutics, Inc.* | 737 | ||||||
40 | Eli Lilly & Co. | 7,473 | ||||||
131 | Gilead Sciences, Inc. | 8,466 | ||||||
44 | Horizon Therapeutics plc* | 4,050 | ||||||
101 | Ironwood Pharmaceuticals, Inc.* | 1,129 | ||||||
83 | Jazz Pharmaceuticals plc* | 13,643 | ||||||
148 | Johnson & Johnson | 24,324 | ||||||
325 | Merck & Co., Inc. | 25,054 | ||||||
9 | Mettler-Toledo International, Inc.* | 10,401 | ||||||
210 | Pfizer, Inc. | 7,608 | ||||||
9 | PRA Health Sciences, Inc.* | 1,380 | ||||||
16 | Regeneron Pharmaceuticals, Inc.* | 7,570 | ||||||
104 | Supernus Pharmaceuticals, Inc.* | 2,723 | ||||||
7 | Thermo Fisher Scientific, Inc. | 3,195 | ||||||
94 | United Therapeutics Corp.* | 15,723 | ||||||
443 | Viatris, Inc.* | 6,189 | ||||||
33 | Waters Corp.* | 9,378 | ||||||
34 | Zoetis, Inc. | 5,354 | ||||||
|
| |||||||
236,055 | ||||||||
|
| |||||||
Real Estate - 1.5% | ||||||||
271 | Apple Hospitality, Inc. REIT | 3,948 | ||||||
55 | CareTrust, Inc. REIT | 1,281 | ||||||
126 | CBRE Group, Inc. Class A* | 9,968 | ||||||
381 | Medical Properties Trust, Inc. REIT | 8,108 | ||||||
8 | Public Storage REIT | 1,974 | ||||||
293 | VICI Properties, Inc. REIT | 8,274 | ||||||
122 | Weyerhaeuser Co., REIT | 4,343 | ||||||
|
| |||||||
37,896 | ||||||||
|
| |||||||
Retailing - 10.7% | ||||||||
6 | Amazon.com, Inc.* | 18,564 | ||||||
118 | Best Buy Co., Inc. | 13,548 | ||||||
57 | Big Lots, Inc. | 3,893 | ||||||
74 | Buckle, Inc. | 2,907 | ||||||
33 | Chewy, Inc. Class A* | 2,795 | ||||||
46 | Dollar General Corp. | 9,321 | ||||||
94 | Dollar Tree, Inc.* | 10,759 | ||||||
37 | DoorDash, Inc. Class A* | 4,852 | ||||||
313 | eBay, Inc. | 19,168 | ||||||
36 | Etsy, Inc.* | 7,260 | ||||||
170 | Hibbett Sports, Inc.* | 11,711 | ||||||
73 | Home Depot, Inc. | 22,283 |
The accompanying notes are an integral part of these financial statements.
| 11 |
|
Hartford Longevity Economy ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% - (continued) | ||||||||
Retailing - 10.7% - (continued) | ||||||||
93 | Lowe’s Cos., Inc. | $ | 17,687 | |||||
340 | Michaels Cos., Inc.* | 7,460 | ||||||
1,933 | Qurate Retail, Inc. | 22,732 | ||||||
248 | Rent-A-Center, Inc. | 14,300 | ||||||
513 | Revolve Group, Inc.* | 23,049 | ||||||
145 | Shutterstock, Inc. | 12,911 | ||||||
29 | Sleep Number Corp.* | 4,161 | ||||||
12 | Stamps.com, Inc.* | 2,394 | ||||||
115 | Target Corp. | 22,778 | ||||||
38 | Tractor Supply Co. | 6,729 | ||||||
8 | Wayfair, Inc. Class A* | 2,518 | ||||||
|
| |||||||
263,780 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 5.3% | ||||||||
28 | Analog Devices, Inc. | 4,342 | ||||||
34 | Broadcom, Inc. | 15,764 | ||||||
119 | Diodes, Inc.* | 9,501 | ||||||
4 | First Solar, Inc.* | 349 | ||||||
209 | Intel Corp. | 13,376 | ||||||
150 | Maxim Integrated Products, Inc. | 13,706 | ||||||
188 | Micron Technology, Inc.* | 16,584 | ||||||
4 | NXP Semiconductors N.V. | 805 | ||||||
244 | ON Semiconductor Corp.* | 10,153 | ||||||
30 | Qorvo, Inc.* | 5,481 | ||||||
110 | QUALCOMM, Inc. | 14,585 | ||||||
42 | Synaptics, Inc.* | 5,688 | ||||||
95 | Texas Instruments, Inc. | 17,954 | ||||||
18 | Xilinx, Inc. | 2,230 | ||||||
|
| |||||||
130,518 | ||||||||
|
| |||||||
Software & Services - 13.8% | ||||||||
17 | Adobe, Inc.* | 8,081 | ||||||
36 | Alarm.com Holdings, Inc.* | 3,110 | ||||||
25 | Altair Engineering, Inc. Class A* | 1,564 | ||||||
76 | Appfolio, Inc. Class A* | 10,747 | ||||||
19 | Autodesk, Inc.* | 5,266 | ||||||
39 | Automatic Data Processing, Inc. | 7,350 | ||||||
73 | Broadridge Financial Solutions, Inc. | 11,176 | ||||||
87 | Cadence Design Systems, Inc.* | 11,918 | ||||||
34 | Citrix Systems, Inc. | 4,772 | ||||||
12 | Cloudflare, Inc. Class A* | 843 | ||||||
135 | CommVault Systems, Inc.* | 8,707 | ||||||
16 | Crowdstrike Holdings, Inc. Class A* | 2,920 | ||||||
154 | CSG Systems International, Inc. | 6,913 | ||||||
92 | ExlService Holdings, Inc.* | 8,295 | ||||||
7 | Fair Isaac Corp.* | 3,402 | ||||||
52 | Fortinet, Inc.* | 9,590 | ||||||
2 | HubSpot, Inc.* | 908 | ||||||
22 | Intuit, Inc. | 8,427 | ||||||
92 | j2 Global, Inc.* | 11,027 | ||||||
50 | MAXIMUS, Inc. | 4,452 | ||||||
74 | Microsoft Corp. | 17,447 | ||||||
145 | NIC, Inc. | 4,920 | ||||||
952 | Nortonlifelock, Inc. | 20,240 | ||||||
82 | Nuance Communications, Inc.* | 3,578 | ||||||
301 | Oracle Corp. | 21,121 | ||||||
24 | Palo Alto Networks, Inc.* | 7,729 | ||||||
136 | Paychex, Inc. | 13,331 | ||||||
4 | Paycom Software, Inc.* | 1,480 | ||||||
328 | Progress Software Corp. | 14,452 | ||||||
24 | PTC, Inc.* | 3,304 | ||||||
15 | ServiceNow, Inc.* | 7,502 | ||||||
61 | SPS Commerce, Inc.* | 6,058 | ||||||
177 | SS&C Technologies Holdings, Inc. | 12,367 | ||||||
476 | Sykes Enterprises, Inc.* | 20,982 | ||||||
37 | Synopsys, Inc.* | 9,168 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.9% - (continued) | ||||||||
Software & Services - 13.8% - (continued) | ||||||||
233 | Teradata Corp.* | $ | 8,980 | |||||
87 | TTEC Holdings, Inc. | 8,739 | ||||||
9 | Tyler Technologies, Inc.* | 3,821 | ||||||
30 | Verint Systems, Inc.* | 1,365 | ||||||
5 | Visa, Inc. Class A | 1,059 | ||||||
144 | VMware, Inc. Class A* | 21,665 | ||||||
74 | Western Union Co. | 1,825 | ||||||
9 | Zendesk, Inc.* | 1,194 | ||||||
4 | Zscaler, Inc.* | 687 | ||||||
|
| |||||||
342,482 | ||||||||
|
| |||||||
Technology Hardware & Equipment - 8.5% | ||||||||
106 | Apple, Inc. | 12,948 | ||||||
112 | Arrow Electronics, Inc.* | 12,412 | ||||||
242 | Dell Technologies, Inc.* | 21,332 | ||||||
58 | ePlus, Inc.* | 5,779 | ||||||
856 | Hewlett Packard Enterprise Co. | 13,473 | ||||||
668 | HP, Inc. | 21,209 | ||||||
103 | Insight Enterprises, Inc.* | 9,828 | ||||||
493 | NCR Corp.* | 18,709 | ||||||
314 | NetApp, Inc. | 22,818 | ||||||
47 | Plexus Corp.* | 4,317 | ||||||
157 | Sanmina Corp.* | 6,497 | ||||||
276 | Seagate Technology plc | 21,183 | ||||||
414 | Super Micro Computer, Inc.* | 16,171 | ||||||
19 | TE Connectivity Ltd. | 2,453 | ||||||
44 | Western Digital Corp. | 2,937 | ||||||
777 | Xerox Holdings Corp. | 18,858 | ||||||
|
| |||||||
210,924 | ||||||||
|
| |||||||
Telecommunication Services - 2.1% | ||||||||
455 | AT&T, Inc. | 13,773 | ||||||
136 | T-Mobile U.S., Inc.* | 17,039 | ||||||
364 | Verizon Communications, Inc. | 21,167 | ||||||
|
| |||||||
51,979 | ||||||||
|
| |||||||
Transportation - 0.5% | ||||||||
12 | J.B. Hunt Transport Services, Inc. | 2,017 | ||||||
16 | Landstar System, Inc. | 2,641 | ||||||
95 | Ryder System, Inc. | 7,187 | ||||||
|
| |||||||
11,845 | ||||||||
|
| |||||||
Utilities - 1.2% | ||||||||
3 | Duke Energy Corp. | 290 | ||||||
27 | Edison International | 1,582 | ||||||
191 | Exelon Corp. | 8,354 | ||||||
387 | NRG Energy, Inc. | 14,602 | ||||||
104 | PPL Corp. | 2,999 | ||||||
44 | Southern Co. | 2,735 | ||||||
|
| |||||||
30,562 | ||||||||
|
| |||||||
Total Common Stocks | $ | 2,472,812 | ||||||
|
|
Total Investments | 99.9 | % | $ | 2,472,812 | ||||||||
Other Assets and Liabilities | 0.1 | % | 2,465 | |||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 2,475,277 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
The accompanying notes are an integral part of these financial statements.
| 12 |
|
Hartford Longevity Economy ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Automobiles & Components | $ | 35,154 | $ | 35,154 | $ | — | $ | — | ||||||||
Banks | 100,587 | 100,587 | — | — | ||||||||||||
Capital Goods | 47,427 | 47,427 | — | — | ||||||||||||
Consumer Durables & Apparel | 78,372 | 78,372 | — | — | ||||||||||||
Consumer Services | 49,199 | 49,199 | — | — | ||||||||||||
Diversified Financials | 97,905 | 97,905 | — | — | ||||||||||||
Food & Staples Retailing | 38,604 | 38,604 | — | — | ||||||||||||
Food, Beverage & Tobacco | 29,429 | 29,429 | — | — | ||||||||||||
Health Care Equipment & Services | 318,161 | 318,161 | — | — | ||||||||||||
Household & Personal Products | 50,824 | 50,824 | — | — | ||||||||||||
Insurance | 64,396 | 64,396 | — | — | ||||||||||||
Media & Entertainment | 246,713 | 246,713 | — | — | ||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 236,055 | 236,055 | — | — | ||||||||||||
Real Estate | 37,896 | 37,896 | — | — | ||||||||||||
Retailing | 263,780 | 263,780 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 130,518 | 130,518 | — | — | ||||||||||||
Software & Services | 342,482 | 342,482 | — | — | ||||||||||||
Technology Hardware & Equipment | 210,924 | 210,924 | — | — | ||||||||||||
Telecommunication Services | 51,979 | 51,979 | — | — | ||||||||||||
Transportation | 11,845 | 11,845 | — | — | ||||||||||||
Utilities | 30,562 | 30,562 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,472,812 | $ | 2,472,812 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For the period ended March 31, 2021, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 13 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% | ||||||||
Australia - 8.4% | ||||||||
1,188,898 | AGL Energy Ltd. | $ | 8,738,308 | |||||
189,065 | Ansell Ltd. | 5,650,613 | ||||||
7,090 | ASX Ltd. | 383,677 | ||||||
635,439 | Aurizon Holdings Ltd. | 1,887,530 | ||||||
1,453,388 | AusNet Services | 2,031,296 | ||||||
342,266 | Australia & New Zealand Banking Group Ltd. | 7,346,157 | ||||||
407,294 | Bendigo & Adelaide Bank Ltd. | 3,120,768 | ||||||
310,840 | BHP Group Ltd. | 10,724,833 | ||||||
704,746 | BlueScope Steel Ltd. | 10,386,496 | ||||||
9,939 | Commonwealth Bank of Australia | 651,780 | ||||||
196,468 | Computershare Ltd. | 2,250,583 | ||||||
30,767 | CSL Ltd. | 6,201,725 | ||||||
1,420,469 | Dexus REIT | 10,548,527 | ||||||
457,934 | Evolution Mining Ltd. | 1,423,045 | ||||||
824,325 | Fortescue Metals Group Ltd. | 12,550,664 | ||||||
126,984 | GPT Group REIT | 444,900 | ||||||
1,057,904 | Harvey Norman Holdings Ltd. | 4,616,962 | ||||||
249,521 | JB Hi-Fi Ltd. | 9,840,669 | ||||||
951,427 | Medibank Pvt Ltd. | 2,029,032 | ||||||
1,487,394 | Metcash Ltd. | 4,168,975 | ||||||
330,193 | Mineral Resources Ltd. | 9,561,707 | ||||||
1,130,643 | Mirvac Group REIT | 2,152,886 | ||||||
121,920 | Premier Investments Ltd. | 2,417,155 | ||||||
19,716 | Pro Medicus Ltd. | 620,640 | ||||||
69,748 | Reece Ltd. | 910,538 | ||||||
356,224 | Sonic Healthcare Ltd. | 9,520,549 | ||||||
102,120 | Suncorp Group Ltd. | 770,019 | ||||||
2,585,010 | Telstra Corp. Ltd. | 6,694,168 | ||||||
98,586 | Washington H Soul Pattinson & Co., Ltd. | 2,371,280 | ||||||
326,152 | Wesfarmers Ltd. | 13,083,948 | ||||||
359,773 | Woolworths Group Ltd. | 11,199,243 | ||||||
|
| |||||||
164,298,673 | ||||||||
|
| |||||||
Austria - 0.3% | ||||||||
61,287 | Andritz AG | 2,761,652 | ||||||
3,979 | Mayr Melnhof Karton AG | 820,261 | ||||||
35,885 | Oesterreichische Post AG(1) | 1,573,151 | ||||||
100,462 | UNIQA Insurance Group AG | 755,667 | ||||||
29,444 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 764,782 | ||||||
|
| |||||||
6,675,513 | ||||||||
|
| |||||||
Belgium - 1.4% | ||||||||
9,095 | Ackermans & van Haaren N.V. | 1,449,476 | ||||||
157,975 | Ageas S.A. | 9,573,038 | ||||||
5,897 | Cofinimmo S.A. REIT | 860,798 | ||||||
77,304 | Etablissements Franz Colruyt N.V. | 4,620,903 | ||||||
23,559 | Groupe Bruxelles Lambert S.A. | 2,443,821 | ||||||
283,184 | Proximus S.A. | 6,177,250 | ||||||
23,330 | UCB S.A. | 2,224,289 | ||||||
4,169 | VGP N.V. | 668,336 | ||||||
|
| |||||||
28,017,911 | ||||||||
|
| |||||||
Canada - 10.8% | ||||||||
89,772 | Algonquin Power & Utilities Corp.(1) | 1,422,095 | ||||||
224,207 | Alimentation Couche-Tard, Inc. Class B | 7,228,283 | ||||||
54,180 | Atco Ltd. Class I | 1,798,456 | ||||||
451,700 | B2Gold Corp. | 1,944,303 | ||||||
78,677 | Bank of Montreal | 7,012,291 | ||||||
62,862 | Bank of Nova Scotia(1) | 3,932,220 | ||||||
134,708 | Barrick Gold Corp. | 2,671,974 | ||||||
247,750 | BCE, Inc. | 11,182,605 | ||||||
58,156 | Cameco Corp. | 964,292 | ||||||
141,981 | Canadian Apartment Properties REIT(1) | 6,084,335 | ||||||
14,613 | Canadian Imperial Bank of Commerce(1) | 1,430,664 | ||||||
3,069 | Canadian National Railway Co. | 356,115 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Canada - 10.8% - (continued) | ||||||||
201,833 | Canadian Solar, Inc.* | $ | 10,016,972 | |||||
30,431 | Canadian Tire Corp. Ltd. Class A | 4,317,747 | ||||||
44,500 | Capital Power Corp. | 1,288,777 | ||||||
90,736 | CGI, Inc.* | 7,557,182 | ||||||
1,273 | Constellation Software, Inc. | 1,777,592 | ||||||
85,823 | Emera, Inc. | 3,819,135 | ||||||
206,271 | Empire Co., Ltd. Class A | 6,430,121 | ||||||
16,680 | Enghouse Systems Ltd. | 773,583 | ||||||
101,000 | Finning International, Inc. | 2,568,294 | ||||||
73,789 | Fortis, Inc. | 3,201,427 | ||||||
72,888 | George Weston Ltd. | 6,453,417 | ||||||
252,996 | Great-West Lifeco, Inc. | 6,731,262 | ||||||
186,298 | Hydro One Ltd.(2) | 4,338,579 | ||||||
76,837 | iA Financial Corp., Inc. | 4,177,326 | ||||||
26,474 | IGM Financial, Inc. | 806,742 | ||||||
1,082,662 | Kinross Gold Corp. | 7,209,994 | ||||||
4,700 | Linamar Corp. | 277,060 | ||||||
245,969 | Loblaw Cos., Ltd. | 13,738,333 | ||||||
17,723 | Magna International, Inc. | 1,560,713 | ||||||
129,086 | Manulife Financial Corp. | 2,776,142 | ||||||
194,038 | Metro, Inc. | 8,850,856 | ||||||
115,104 | Northland Power, Inc. | 4,171,530 | ||||||
46,336 | Open Text Corp. | 2,209,057 | ||||||
94,547 | Parkland Corp. | 2,840,510 | ||||||
196,952 | Power Corp. of Canada(1) | 5,175,896 | ||||||
163,656 | Quebecor, Inc. Class B | 4,393,327 | ||||||
121,312 | Rogers Communications, Inc. Class B | 5,593,373 | ||||||
128,523 | Royal Bank of Canada | 11,848,637 | ||||||
82,625 | Saputo, Inc. | 2,484,305 | ||||||
101,663 | Shaw Communications, Inc. Class B | 2,643,392 | ||||||
79,003 | Stantec, Inc. | 3,381,757 | ||||||
70,152 | Sun Life Financial, Inc. | 3,544,857 | ||||||
38,381 | TC Energy Corp.(1) | 1,759,263 | ||||||
397,854 | TELUS Corp. | 7,923,209 | ||||||
51,895 | Toromont Industries Ltd. | 3,971,659 | ||||||
58,361 | Toronto-Dominion Bank | 3,805,758 | ||||||
119,400 | Tourmaline Oil Corp. | 2,272,386 | ||||||
|
| |||||||
212,717,803 | ||||||||
|
| |||||||
China - 0.6% | ||||||||
658,000 | Kerry Logistics Network Ltd. | 1,972,024 | ||||||
10,146,800 | Yangzijiang Shipbuilding Holdings Ltd. | 9,666,496 | ||||||
|
| |||||||
11,638,520 | ||||||||
|
| |||||||
Denmark - 1.9% | ||||||||
5,463 | Carlsberg A/S Class B | 841,385 | ||||||
62,297 | Coloplast A/S Class B | 9,389,910 | ||||||
4,581 | GN Store Nord A/S | 361,531 | ||||||
145,499 | H. Lundbeck A/S | 4,982,598 | ||||||
193,191 | Novo Nordisk A/S Class B | 13,120,178 | ||||||
61,834 | Pandora A/S | 6,640,758 | ||||||
3,748 | Rockwool International A/S Class B | 1,583,791 | ||||||
8,214 | SimCorp A/S | 1,019,619 | ||||||
|
| |||||||
37,939,770 | ||||||||
|
| |||||||
Finland - 1.0% | ||||||||
16,008 | Elisa Oyj | 962,158 | ||||||
247,742 | Kesko Oyj Class B | 7,593,741 | ||||||
58,299 | Kone Oyj Class B | 4,773,018 | ||||||
58,981 | Metsa Board Oyj | 643,986 | ||||||
26,034 | Nokian Renkaat Oyj | 944,858 | ||||||
105,757 | Orion Oyj Class B | 4,247,199 | ||||||
|
| |||||||
19,164,960 | ||||||||
|
| |||||||
France - 5.9% | ||||||||
20,089 | Arkema S.A. | 2,440,154 | ||||||
57,215 | Atos SE* | 4,473,121 |
The accompanying notes are an integral part of these financial statements.
| 14 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
France - 5.9% - (continued) | ||||||||
47,177 | AXA S.A. | $ | 1,268,907 | |||||
53,927 | BioMerieux | 6,876,770 | ||||||
339,619 | Bollore S.A. | 1,643,716 | ||||||
336,186 | Bouygues S.A. | 13,509,126 | ||||||
400,788 | Carrefour S.A. | 7,275,304 | ||||||
54,595 | Cie Generale des Etablissements Michelin SCA | 8,190,723 | ||||||
59,585 | Danone S.A. | 4,096,768 | ||||||
2,349 | Dassault Aviation S.A.* | 2,619,979 | ||||||
44,754 | Eiffage S.A.* | 4,489,881 | ||||||
894,597 | Electricite de France S.A.* | 12,028,237 | ||||||
8,071 | Faurecia SE* | 430,942 | ||||||
19,938 | Gaztransport Et Technigaz S.A. | 1,593,452 | ||||||
9,921 | Gecina S.A. REIT | 1,368,901 | ||||||
28,034 | Iliad S.A. | 5,340,927 | ||||||
5,935 | L’Oreal S.A. | 2,279,561 | ||||||
586,712 | Orange S.A. | 7,243,852 | ||||||
36,231 | Publicis Groupe S.A. | 2,215,982 | ||||||
85,373 | Rubis SCA | 4,053,689 | ||||||
89,392 | Sanofi | 8,851,504 | ||||||
6,438 | Sartorius Stedim Biotech | 2,657,382 | ||||||
13,866 | SEB S.A. | 2,451,024 | ||||||
23,777 | Societe BIC S.A. | 1,395,019 | ||||||
3,686 | Sodexo S.A.* | 354,284 | ||||||
185,961 | Suez | 3,947,191 | ||||||
2,965 | Trigano S.A. | 555,471 | ||||||
78,535 | Vivendi S.A. | 2,584,460 | ||||||
|
| |||||||
116,236,327 | ||||||||
|
| |||||||
Germany - 4.8% | ||||||||
78,905 | ADO Properties S.A.*(2) | 2,166,336 | ||||||
22,156 | Allianz SE | 5,651,968 | ||||||
214,535 | Alstria Office AG REIT | 3,474,529 | ||||||
383,746 | Aroundtown S.A. | 2,737,670 | ||||||
36,379 | Aurubis AG | 3,020,299 | ||||||
40,231 | Brenntag SE | 3,442,237 | ||||||
33,763 | Covestro AG(2) | 2,275,345 | ||||||
45,736 | Deutsche Post AG | 2,511,363 | ||||||
461,947 | Deutsche Telekom AG | 9,322,040 | ||||||
121,528 | Deutsche Wohnen SE | 5,681,849 | ||||||
91,514 | Fresenius Medical Care AG & Co. KGaA | 6,745,935 | ||||||
57,493 | Fresenius SE & Co. KGaA | 2,566,365 | ||||||
5,839 | Gerresheimer AG | 581,260 | ||||||
81,963 | Lanxess AG | 6,055,371 | ||||||
19,537 | LEG Immobilien SE | 2,575,398 | ||||||
86,229 | Merck KGaA | 14,776,086 | ||||||
10,270 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 3,169,668 | ||||||
71,696 | Software AG | 3,028,458 | ||||||
196,924 | TAG Immobilien AG* | 5,633,363 | ||||||
22,144 | Talanx AG* | 941,094 | ||||||
1,667,359 | Telefonica Deutschland Holding AG | 4,899,115 | ||||||
83,398 | Uniper SE | 3,026,784 | ||||||
3,700 | United Internet AG | 148,722 | ||||||
9,421 | Vonovia SE | 616,738 | ||||||
|
| |||||||
95,047,993 | ||||||||
|
| |||||||
Hong Kong - 4.7% | ||||||||
820,500 | BOC Hong Kong Holdings Ltd. | 2,865,357 | ||||||
917,688 | Champion REIT | 538,258 | ||||||
1,759,120 | Chow Tai Fook Jewellery Group Ltd. | 2,688,080 | ||||||
680,000 | CK Asset Holdings Ltd. | 4,128,395 | ||||||
540,000 | CK Hutchison Holdings Ltd. | 4,302,941 | ||||||
390,480 | CLP Holdings Ltd. | 3,792,068 | ||||||
572,533 | Dairy Farm International Holdings Ltd. | 2,467,617 | ||||||
371,000 | Hang Lung Group Ltd. | 939,138 | ||||||
587,000 | Hang Lung Properties Ltd. | 1,525,175 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Hong Kong - 4.7% - (continued) | ||||||||
440,210 | Hang Seng Bank Ltd. | $ | 8,521,710 | |||||
1,066,000 | Henderson Land Development Co., Ltd. | 4,785,342 | ||||||
1,586,609 | HK Electric Investments & HK Electric Investments Ltd. | 1,575,497 | ||||||
552,000 | Hysan Development Co., Ltd. | 2,158,455 | ||||||
8,326 | Jardine Matheson Holdings Ltd. | 544,437 | ||||||
864,000 | Kerry Properties Ltd. | 2,783,888 | ||||||
426,750 | New World Development Co., Ltd. | 2,206,632 | ||||||
1,302,000 | NWS Holdings Ltd. | 1,374,942 | ||||||
68,000 | Orient Overseas International Ltd. | 1,001,486 | ||||||
3,763,770 | PCCW Ltd. | 2,120,447 | ||||||
166,500 | Power Assets Holdings Ltd. | 983,008 | ||||||
2,306,000 | Sino Land Co., Ltd. | 3,209,349 | ||||||
1,817,000 | SITC International Holdings Co., Ltd. | 6,158,371 | ||||||
632,000 | Sun Hung Kai Properties Ltd. | 9,576,189 | ||||||
1,038,600 | Swire Properties Ltd. | 3,212,874 | ||||||
9,715,792 | WH Group Ltd.(2) | 7,873,160 | ||||||
2,652,000 | Xinyi Glass Holdings Ltd. | 8,664,381 | ||||||
1,027,111 | Yue Yuen Industrial Holdings Ltd. | 2,563,005 | ||||||
|
| |||||||
92,560,202 | ||||||||
|
| |||||||
Ireland - 0.5% | ||||||||
35,992 | ICON plc* | 7,067,749 | ||||||
18,378 | Kerry Group plc Class A | 2,304,683 | ||||||
|
| |||||||
9,372,432 | ||||||||
|
| |||||||
Israel - 1.2% | ||||||||
194,527 | Bank Leumi Le-Israel BM | 1,283,352 | ||||||
3,778,654 | Bezeq The Israeli Telecommunication Corp. Ltd.* | 4,046,413 | ||||||
62,722 | Check Point Software Technologies Ltd.* | 7,022,982 | ||||||
67,847 | First International Bank of Israel Ltd. | 1,894,800 | ||||||
1 | Isracard Ltd. | 3 | ||||||
762,273 | Israel Chemicals Ltd. | 4,473,471 | ||||||
40,964 | Strauss Group Ltd. | 1,105,575 | ||||||
11,141 | Taro Pharmaceutical Industries Ltd.* | 821,649 | ||||||
79,580 | Tower Semiconductor Ltd.* | 2,221,042 | ||||||
|
| |||||||
22,869,287 | ||||||||
|
| |||||||
Italy - 2.6% | ||||||||
1,331,906 | A2A S.p.A. | 2,429,483 | ||||||
300,013 | Assicurazioni Generali S.p.A.* | 6,015,443 | ||||||
55,056 | De’ Longhi S.p.A. | 2,228,519 | ||||||
33,530 | DiaSorin S.p.A. | 5,390,986 | ||||||
634,866 | Enel S.p.A. | 6,337,117 | ||||||
219,389 | Freni Brembo S.p.A.* | 2,738,343 | ||||||
931,658 | Hera S.p.A. | 3,578,385 | ||||||
24,387 | Interpump Group S.p.A. | 1,231,894 | ||||||
612,552 | Iren S.p.A. | 1,696,160 | ||||||
331,706 | Italgas S.p.A. | 2,157,841 | ||||||
183,100 | Prysmian S.p.A. | 5,963,118 | ||||||
252,996 | Snam S.p.A. | 1,405,852 | ||||||
441,969 | Terna Rete Elettrica Nazionale S.p.A. | 3,344,193 | ||||||
809,670 | Unipol Gruppo S.p.A.* | 4,525,832 | ||||||
652,757 | UnipolSai Assicurazioni S.p.A. | 1,967,062 | ||||||
|
| |||||||
51,010,228 | ||||||||
|
| |||||||
Japan - 22.4% | ||||||||
40,205 | ABC-Mart, Inc. | 2,270,400 | ||||||
154,359 | Aeon Co., Ltd. | 4,608,419 | ||||||
185,800 | Air Water, Inc. | 3,262,009 | ||||||
37,400 | Ajinomoto Co., Inc. | 766,785 | ||||||
187,982 | Alfresa Holdings Corp. | 3,628,648 | ||||||
145,600 | Amada Co., Ltd. | 1,625,976 | ||||||
66,188 | Aozora Bank Ltd. | 1,517,832 | ||||||
27,600 | AS One Corp. | 3,474,353 | ||||||
628,765 | Astellas Pharma, Inc. | 9,684,688 | ||||||
169,100 | Azbil Corp. | 7,291,959 |
The accompanying notes are an integral part of these financial statements.
| 15 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Japan - 22.4% - (continued) | ||||||||
16,459 | Bandai Namco Holdings, Inc. | $ | 1,175,664 | |||||
48,600 | Bank of Kyoto Ltd. | 2,995,167 | ||||||
196,497 | Bic Camera, Inc. | 2,205,034 | ||||||
297,293 | Bridgestone Corp. | 12,039,694 | ||||||
376,500 | Brother Industries Ltd. | 8,344,330 | ||||||
82,797 | Canon Marketing Japan, Inc. | 1,840,266 | ||||||
291,103 | Canon, Inc. | 6,592,627 | ||||||
43,900 | Chubu Electric Power Co., Inc. | 566,131 | ||||||
34,000 | COMSYS Holdings Corp. | 1,049,231 | ||||||
26,600 | Create SD Holdings Co., Ltd. | 866,606 | ||||||
108,800 | Daio Paper Corp. | 1,869,785 | ||||||
12,800 | Daito Trust Construction Co., Ltd. | 1,486,190 | ||||||
98,400 | Daiwa House Industry Co., Ltd. | 2,886,103 | ||||||
385,917 | Daiwa Securities Group, Inc. | 1,998,037 | ||||||
6,800 | Ebara Corp. | 277,846 | ||||||
65,400 | Ezaki Glico Co., Ltd. | 2,630,796 | ||||||
95,500 | Fuji Corp. | 2,450,158 | ||||||
154,220 | FUJIFILM Holdings Corp. | 9,170,856 | ||||||
78,048 | Fujitsu Ltd. | 11,301,068 | ||||||
21,200 | GS Yuasa Corp. | 575,566 | ||||||
414,700 | Haseko Corp. | 5,813,306 | ||||||
32,900 | Hisamitsu Pharmaceutical Co., Inc. | 2,146,688 | ||||||
119,173 | Hitachi Ltd. | 5,396,757 | ||||||
226,200 | Honda Motor Co., Ltd. | 6,794,188 | ||||||
21,821 | Hoya Corp. | 2,568,164 | ||||||
197,700 | Iida Group Holdings Co., Ltd. | 4,787,739 | ||||||
317,371 | ITOCHU Corp. | 10,302,351 | ||||||
162,000 | Iwatani Corp. | 10,013,213 | ||||||
8,500 | Izumi Co., Ltd. | 333,462 | ||||||
229,300 | Japan Post Bank Co., Ltd. | 2,207,920 | ||||||
276,681 | Japan Post Holdings Co., Ltd.* | 2,470,599 | ||||||
99,000 | Japan Post Insurance Co., Ltd. | 2,037,339 | ||||||
111,500 | Japan Tobacco, Inc. | 2,144,231 | ||||||
390,148 | K’s Holdings Corp. | 5,370,272 | ||||||
449,500 | Kajima Corp. | 6,390,629 | ||||||
62,549 | Kaken Pharmaceutical Co., Ltd. | 2,453,845 | ||||||
61,100 | Kaneka Corp. | 2,515,882 | ||||||
318,951 | KDDI Corp. | 9,799,445 | ||||||
137,400 | Kewpie Corp. | 3,133,466 | ||||||
153,000 | Kinden Corp. | 2,610,000 | ||||||
65,900 | Kyowa Exeo Corp. | 1,742,623 | ||||||
86,922 | Lawson, Inc. | 4,271,371 | ||||||
34,800 | Matsumotokiyoshi Holdings Co., Ltd. | 1,552,615 | ||||||
197,650 | Medipal Holdings Corp. | 3,799,173 | ||||||
67,416 | MEIJI Holdings Co., Ltd. | 4,343,909 | ||||||
45,800 | Mitsubishi Corp. | 1,297,321 | ||||||
170,000 | Mitsubishi Electric Corp. | 2,594,615 | ||||||
25,400 | Mitsubishi Heavy Industries Ltd. | 792,802 | ||||||
390,576 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 2,361,129 | ||||||
40,900 | Mitsui & Co., Ltd. | 852,052 | ||||||
179,700 | Mitsui Chemicals, Inc. | 5,683,724 | ||||||
62,900 | Morinaga Milk Industry Co., Ltd. | 3,312,923 | ||||||
129,717 | NEC Corp. | 7,653,890 | ||||||
117,600 | NEC Networks & System Integration Corp. | 2,073,166 | ||||||
108,675 | Nihon Kohden Corp. | 3,176,654 | ||||||
11,100 | Nihon Unisys Ltd. | 342,543 | ||||||
3,500 | Nintendo Co., Ltd. | 1,957,783 | ||||||
63,481 | Nippo Corp. | 1,734,956 | ||||||
328,306 | Nippon Telegraph & Telephone Corp. | 8,443,852 | ||||||
52,000 | Nippon Yusen KK | 1,776,471 | ||||||
29,700 | Nomura Research Institute Ltd. | 920,566 | ||||||
196,000 | Obayashi Corp. | 1,800,362 | ||||||
65,700 | Open House Co., Ltd. | 2,806,371 | ||||||
17,200 | Oracle Corp. Japan | 1,681,086 | ||||||
279,900 | ORIX Corp. | 4,731,703 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Japan - 22.4% - (continued) | ||||||||
336,551 | Osaka Gas Co., Ltd. | $ | 6,569,597 | |||||
13,800 | Otsuka Corp. | 646,914 | ||||||
9,900 | PALTAC Corp. | 536,661 | ||||||
46,400 | Pan Pacific International Holdings Corp. | 1,096,384 | ||||||
506,200 | Panasonic Corp. | 6,521,047 | ||||||
17,800 | Persol Holdings Co., Ltd. | 348,590 | ||||||
98,666 | Resona Holdings, Inc. | 415,022 | ||||||
51,300 | Rinnai Corp. | 5,752,100 | ||||||
165,900 | Santen Pharmaceutical Co., Ltd. | 2,286,567 | ||||||
236,300 | Sanwa Holdings Corp. | 3,098,631 | ||||||
63,268 | Sawai Pharmaceutical Co., Ltd. | 3,074,653 | ||||||
13,800 | Secom Co., Ltd. | 1,163,072 | ||||||
18,500 | Seiko Epson Corp. | 301,357 | ||||||
213,300 | Seino Holdings Co., Ltd. | 2,976,548 | ||||||
264,065 | Sekisui Chemical Co., Ltd. | 5,078,173 | ||||||
384,348 | Sekisui House Ltd. | 8,257,395 | ||||||
179,189 | Seven & i Holdings Co., Ltd. | 7,237,290 | ||||||
75,140 | Shimamura Co., Ltd. | 8,683,600 | ||||||
411,328 | Shimizu Corp. | 3,335,293 | ||||||
57,600 | Shionogi & Co., Ltd. | 3,102,581 | ||||||
116,800 | Ship Healthcare Holdings, Inc. | 3,287,312 | ||||||
140,858 | Skylark Holdings Co., Ltd.* | 2,110,958 | ||||||
35,000 | Sompo Holdings, Inc. | 1,343,620 | ||||||
389,293 | Subaru Corp. | 7,764,722 | ||||||
67,417 | Sugi Holdings Co., Ltd. | 5,350,652 | ||||||
126,500 | Sumitomo Electric Industries Ltd. | 1,898,072 | ||||||
265,229 | Sumitomo Forestry Co., Ltd. | 5,727,026 | ||||||
41,800 | Sumitomo Heavy Industries Ltd. | 1,163,213 | ||||||
121,700 | Sumitomo Rubber Industries Ltd. | 1,437,272 | ||||||
67,600 | Sundrug Co., Ltd. | 2,477,647 | ||||||
28,107 | Suntory Beverage & Food Ltd. | 1,046,700 | ||||||
86,382 | Suzuken Co., Ltd. | 3,381,015 | ||||||
15,400 | Sysmex Corp. | 1,661,946 | ||||||
61,500 | Taisei Corp. | 2,376,516 | ||||||
36,000 | Taisho Pharmaceutical Holdings Co., Ltd. | 2,326,154 | ||||||
331,900 | Teijin Ltd. | 5,727,903 | ||||||
91,911 | Toho Gas Co., Ltd. | 5,681,015 | ||||||
196,100 | Tohoku Electric Power Co., Inc. | 1,854,520 | ||||||
86,500 | Tokio Marine Holdings, Inc. | 4,121,471 | ||||||
284,796 | Tokyo Gas Co., Ltd. | 6,346,698 | ||||||
107,800 | Tosoh Corp. | 2,066,248 | ||||||
33,219 | Toyo Suisan Kaisha Ltd. | 1,397,904 | ||||||
223,500 | Toyota Boshoku Corp. | 3,701,403 | ||||||
130,200 | TS Tech Co., Ltd. | 1,942,985 | ||||||
68,247 | Tsumura & Co. | 2,442,687 | ||||||
1,509,857 | Yamada Denki Co., Ltd. | 8,157,327 | ||||||
133,746 | Yamaha Motor Co., Ltd. | 3,281,316 | ||||||
195,380 | Yamazaki Baking Co., Ltd. | 3,163,211 | ||||||
35,300 | Yaoko Co., Ltd. | 2,172,308 | ||||||
84,953 | Zensho Holdings Co., Ltd. | 2,176,488 | ||||||
|
| |||||||
439,513,164 | ||||||||
|
| |||||||
Luxembourg - 0.4% | ||||||||
17,819 | Eurofins Scientific SE* | 1,707,037 | ||||||
97,352 | Grand City Properties S.A. | 2,443,963 | ||||||
54,183 | RTL Group S.A.* | 3,181,515 | ||||||
|
| |||||||
7,332,515 | ||||||||
|
| |||||||
Netherlands - 4.3% | ||||||||
170,645 | ASR Nederland N.V. | 7,663,358 | ||||||
53,381 | Exor N.V. | 4,513,419 | ||||||
74,504 | ING Groep N.V. | 913,473 | ||||||
513,994 | Koninklijke Ahold Delhaize N.V. | 14,347,301 | ||||||
20,744 | Koninklijke DSM N.V. | 3,518,093 | ||||||
1,166,374 | Koninklijke KPN N.V. | 3,967,207 | ||||||
26,338 | Koninklijke Philips N.V.* | 1,506,737 |
The accompanying notes are an integral part of these financial statements.
| 16 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Netherlands - 4.3% - (continued) | ||||||||
127,022 | Koninklijke Vopak N.V. | $ | 6,337,313 | |||||
237,891 | NN Group N.V. | 11,656,239 | ||||||
115,799 | Randstad N.V. | 8,163,188 | ||||||
135,321 | Signify N.V.*(2) | 6,991,517 | ||||||
473,996 | Stellantis N.V. | 8,432,389 | ||||||
65,818 | Wolters Kluwer N.V. | 5,733,616 | ||||||
|
| |||||||
83,743,850 | ||||||||
|
| |||||||
New Zealand - 1.1% | ||||||||
108,077 | Chorus Ltd. | 535,898 | ||||||
655,217 | Contact Energy Ltd. | 3,216,759 | ||||||
81,761 | EBOS Group Ltd. | 1,689,209 | ||||||
378,324 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 8,505,194 | ||||||
163,116 | Genesis Energy Ltd. | 398,692 | ||||||
222,605 | Infratil Ltd. | 1,110,798 | ||||||
17,333 | Mainfreight Ltd. | 842,458 | ||||||
264,406 | Mercury NZ Ltd. | 1,203,649 | ||||||
104,316 | Meridian Energy Ltd. | 393,781 | ||||||
1,127,602 | Spark New Zealand Ltd.* | 3,529,824 | ||||||
|
| |||||||
21,426,262 | ||||||||
|
| |||||||
Norway - 0.8% | ||||||||
85,189 | Austevoll Seafood ASA | 1,032,884 | ||||||
55,582 | Kongsberg Gruppen ASA | 1,276,198 | ||||||
542,311 | Orkla ASA | 5,326,323 | ||||||
30,734 | Salmar ASA | 2,124,217 | ||||||
302,770 | Telenor ASA | 5,337,982 | ||||||
|
| |||||||
15,097,604 | ||||||||
|
| |||||||
Portugal - 0.3% | ||||||||
145,941 | Galp Energia SGPS S.A. | 1,701,522 | ||||||
252,840 | Jeronimo Martins SGPS S.A. | 4,264,285 | ||||||
|
| |||||||
5,965,807 | ||||||||
|
| |||||||
Russia - 0.5% | ||||||||
796,969 | Evraz plc | 6,355,564 | ||||||
198,035 | Polymetal International plc | 3,878,485 | ||||||
|
| |||||||
10,234,049 | ||||||||
|
| |||||||
Singapore - 1.8% | ||||||||
274,200 | CapitaLand Ltd. | 767,335 | ||||||
4,880,398 | ComfortDelGro Corp. Ltd. | 6,211,283 | ||||||
251,834 | DBS Group Holdings Ltd. | 5,396,175 | ||||||
223,800 | Jardine Cycle & Carriage Ltd. | 3,749,433 | ||||||
990,514 | Oversea-Chinese Banking Corp. Ltd. | 8,662,206 | ||||||
266,100 | Singapore Exchange Ltd. | 1,974,559 | ||||||
1,028,400 | Singapore Technologies Engineering Ltd. | 2,977,431 | ||||||
384,200 | Venture Corp. Ltd. | 5,736,121 | ||||||
|
| |||||||
35,474,543 | ||||||||
|
| |||||||
Spain - 1.7% | ||||||||
26,593 | Acciona S.A. | 4,466,302 | ||||||
122,957 | ACS Actividades de Construccion y Servicios S.A. | 4,083,889 | ||||||
35,374 | Ebro Foods S.A. | 730,889 | ||||||
24,538 | Grupo Catalana Occidente S.A. | 980,543 | ||||||
264,815 | Iberdrola S.A. | 3,418,938 | ||||||
192,355 | Inmobiliaria Colonial Socimi S.A. | 1,866,247 | ||||||
2,437,033 | Mapfre S.A. | 5,086,897 | ||||||
255,834 | Merlin Properties Socimi S.A. REIT | 2,621,943 | ||||||
55,396 | Naturgy Energy Group S.A. | 1,360,734 | ||||||
269,022 | Red Electrica Corp. S.A. | 4,774,339 | ||||||
4,286 | Vidrala S.A. | 471,998 | ||||||
35,490 | Viscofan S.A. | 2,456,800 | ||||||
87,619 | Zardoya Otis S.A. | 561,233 | ||||||
|
| |||||||
32,880,752 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
Sweden - 4.2% | ||||||||
170,510 | Axfood AB(1) | $ | 4,084,587 | |||||
56,201 | Boliden AB | 2,089,089 | ||||||
57,032 | Bure Equity AB | 1,962,943 | ||||||
284,652 | Electrolux AB Class B | 7,909,631 | ||||||
63,111 | Essity AB Class B(1) | 1,997,674 | ||||||
30,979 | Getinge AB Class B | 861,880 | ||||||
100,985 | Holmen AB Class B | 4,441,982 | ||||||
131,326 | ICA Gruppen AB | 6,433,487 | ||||||
180,437 | Investor AB Class B | 14,416,246 | ||||||
168,823 | Kinnevik AB Class B* | 8,223,931 | ||||||
51,054 | L E Lundbergforetagen AB Class B* | 2,792,762 | ||||||
357,053 | Securitas AB Class B | 6,083,128 | ||||||
180,918 | Skanska AB Class B(1) | 4,545,626 | ||||||
338,688 | Swedbank AB Class A | 5,980,070 | ||||||
13,742 | Swedish Match AB | 1,074,917 | ||||||
317,338 | Swedish Orphan Biovitrum AB* | 5,084,296 | ||||||
54,923 | Telefonaktiebolaget LM Ericsson Class B | 728,102 | ||||||
627,810 | Telia Co. AB | 2,724,786 | ||||||
18,686 | Volvo AB Class B* | 473,565 | ||||||
|
| |||||||
81,908,702 | ||||||||
|
| |||||||
Switzerland - 7.2% | ||||||||
124,550 | Adecco Group AG | 8,421,996 | ||||||
11,448 | Allreal Holding AG | 2,315,996 | ||||||
5,278 | ALSO Holding AG* | 1,519,777 | ||||||
47,133 | Baloise Holding AG | 8,052,900 | ||||||
31,987 | Banque Cantonale Vaudoise | 3,133,615 | ||||||
22,198 | BKW AG | 2,424,645 | ||||||
7,421 | Bucher Industries AG | 3,797,432 | ||||||
18 | Chocoladefabriken Lindt & Spruengli AG | 1,654,359 | ||||||
260,391 | Credit Suisse Group AG | 2,739,618 | ||||||
39,847 | DKSH Holding AG | 3,071,667 | ||||||
71,596 | Galenica AG(2) | 4,488,300 | ||||||
52,252 | Kuehne + Nagel International AG | 14,973,558 | ||||||
58,562 | Logitech International S.A. | 6,168,875 | ||||||
40,593 | Nestle S.A. | 4,543,449 | ||||||
59,774 | Novartis AG | 5,129,837 | ||||||
27,841 | PSP Swiss Property AG | 3,407,834 | ||||||
40,842 | Roche Holding AG | 13,255,261 | ||||||
18,427 | SFS Group AG | 2,298,603 | ||||||
1,342 | SGS S.A. | 3,822,878 | ||||||
20,004 | Swiss Life Holding AG | 9,875,002 | ||||||
69,326 | Swiss Prime Site AG | 6,419,552 | ||||||
24,183 | Swisscom AG | 13,027,446 | ||||||
9,023 | Tecan Group AG | 4,020,875 | ||||||
413,265 | UBS Group AG | 6,426,322 | ||||||
12,500 | Zurich Insurance Group AG | 5,357,807 | ||||||
|
| |||||||
140,347,604 | ||||||||
|
| |||||||
United Kingdom - 10.2% | ||||||||
225,768 | Admiral Group plc | 9,659,374 | ||||||
79,149 | AstraZeneca plc | 7,913,863 | ||||||
1,254,865 | B&M European Value Retail S.A. | 9,138,001 | ||||||
1,047,437 | BAE Systems plc | 7,298,004 | ||||||
14,405 | Berkeley Group Holdings plc | 882,233 | ||||||
938,205 | BT Group plc* | 2,003,796 | ||||||
99,371 | Close Brothers Group plc | 2,126,455 | ||||||
31,036 | Computacenter plc | 1,014,843 | ||||||
1,514,146 | Direct Line Insurance Group plc | 6,545,050 | ||||||
124,903 | DS Smith plc* | 702,584 | ||||||
204,780 | Electrocomponents plc | 2,805,573 | ||||||
56,796 | Ferguson plc | 6,792,372 | ||||||
121,878 | Frasers Group plc* | 774,859 | ||||||
8,087 | Genus plc | 542,038 | ||||||
529,442 | GlaxoSmithKline plc | 9,408,471 | ||||||
125,607 | Halma plc | 4,114,143 |
The accompanying notes are an integral part of these financial statements.
| 17 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.0% - (continued) | ||||||||
United Kingdom - 10.2% - (continued) | ||||||||
245,796 | Hikma Pharmaceuticals plc | $ | 7,718,482 | |||||
596,187 | Howden Joinery Group plc* | 6,029,361 | ||||||
395,928 | HSBC Holdings plc* | 2,311,781 | ||||||
321,589 | IG Group Holdings plc | 3,997,705 | ||||||
107,510 | IMI plc | 1,978,744 | ||||||
24,034 | Intertek Group plc | 1,857,608 | ||||||
2,162,161 | Kingfisher plc* | 9,495,317 | ||||||
356,396 | Legal & General Group plc | 1,372,390 | ||||||
308,982 | Mondi plc | 7,886,598 | ||||||
278,735 | National Grid plc | 3,322,692 | ||||||
404,916 | Pearson plc(1) | 4,310,642 | ||||||
483,264 | Phoenix Group Holdings plc | 4,895,349 | ||||||
126,710 | RELX plc | 3,180,009 | ||||||
156,472 | Rio Tinto plc | 11,981,589 | ||||||
1,698,654 | Royal Mail plc* | 11,825,976 | ||||||
155,082 | Sage Group plc | 1,311,188 | ||||||
68,022 | Schroders plc | 3,284,749 | ||||||
180,758 | Segro plc REIT | 2,338,298 | ||||||
45,560 | Smith & Nephew plc | 866,199 | ||||||
106,046 | Spectris plc | 4,867,791 | ||||||
17,600 | Spirax-Sarco Engineering plc | 2,768,231 | ||||||
44,070 | SSE plc | 884,689 | ||||||
1,091,273 | Standard Chartered plc | 7,520,621 | ||||||
402,944 | Tate & Lyle plc | 4,265,187 | ||||||
433,751 | Tesco plc | 1,369,545 | ||||||
100,393 | Tritax Big Box plc REIT | 248,630 | ||||||
29,098 | Unilever plc | 1,628,343 | ||||||
2,229,476 | Vodafone Group plc | 4,056,641 | ||||||
3,881,609 | WM Morrison Supermarkets plc | 9,771,033 | ||||||
|
| |||||||
199,067,047 | ||||||||
|
| |||||||
Total Common Stocks | $ | 1,940,541,518 | ||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
55,043 | Fuchs Petrolub SE | 2,642,022 | ||||||
|
| |||||||
Total Preferred Stocks | $ | 2,642,022 | ||||||
|
| |||||||
RIGHTS - 0.0% | ||||||||
Australia - 0.0% | ||||||||
22,326 | Computershare Ltd.* | 25,847 | ||||||
|
| |||||||
Italy - 0.0% | ||||||||
255,891 | Snam S.p.A. | — | ||||||
|
| |||||||
Total Rights | $ | 25,847 | ||||||
|
| |||||||
Total Long-Term Investments | $ | 1,943,209,387 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.2% | ||||||||
Securities Lending Collateral - 2.1% | ||||||||
3,554,285 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(3) | 3,554,285 | ||||||
39,411,068 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.04%(3) | 39,411,068 | ||||||
|
| |||||||
42,965,353 | ||||||||
|
| |||||||
U.S. Treasury Securities - 0.1% | ||||||||
U.S. Treasury Bills - 0.1% | ||||||||
337,000 | 0.02%, 09/09/2021(4)(5) | 336,962 | ||||||
111,000 | 0.02%, 09/09/2021(4) | 110,988 |
Shares or Principal Amount | Market Value† | |||||||
SHORT-TERM INVESTMENTS - 2.2% - (continued) | ||||||||
U.S. Treasury Securities - 0.1% - (continued) | ||||||||
U.S. Treasury Bills - 0.1% - (continued) | ||||||||
188,000 | 0.03%, 06/24/2021(4) | $ | 187,994 | |||||
119,000 | 0.03%, 06/24/2021(4) | 118,996 | ||||||
150,000 | 0.03%, 06/24/2021(4) | 149,996 | ||||||
119,000 | 0.03%, 09/09/2021(4) | 118,987 | ||||||
|
| |||||||
1,023,923 | ||||||||
|
| |||||||
Total Short-Term Investments | $ | 43,989,276 | ||||||
|
|
Total Investments | 101.3 | % | $ | 1,987,198,663 | ||||||||
Other Assets and Liabilities | (1.3 | )% | (25,973,500 | ) | ||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 1,961,225,163 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At March 31, 2021, the aggregate value of these securities was $28,133,237, representing 1.4% of net assets. |
(3) | Current yield as of period end. |
(4) | The rate shown represents current yield to maturity. |
(5) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2021, the market value of securities pledged was $336,962. |
The accompanying notes are an integral part of these financial statements.
| 18 |
|
Hartford Multifactor Developed Markets (ex-US) ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Futures Contracts Outstanding at March 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
MSCI EAFE Index Future | 128 | 06/18/2021 | $ | 14,028,800 | $ | (37,596 | ) | |||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (37,596 | ) | ||||||||||||
|
|
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Australia | $ | 164,298,673 | $ | 164,298,673 | $ | — | $ | — | ||||||||
Austria | 6,675,513 | 6,675,513 | — | — | ||||||||||||
Belgium | 28,017,911 | 28,017,911 | — | — | ||||||||||||
Canada | 212,717,803 | 212,717,803 | — | — | ||||||||||||
China | 11,638,520 | 11,638,520 | — | — | ||||||||||||
Denmark | 37,939,770 | 37,939,770 | — | — | ||||||||||||
Finland | 19,164,960 | 19,164,960 | — | — | ||||||||||||
France | 116,236,327 | 116,236,327 | — | — | ||||||||||||
Germany | 95,047,993 | 95,047,993 | — | — | ||||||||||||
Hong Kong | 92,560,202 | 92,560,202 | — | — | ||||||||||||
Ireland | 9,372,432 | 9,372,432 | — | — | ||||||||||||
Israel | 22,869,287 | 22,869,287 | — | — | ||||||||||||
Italy | 51,010,228 | 51,010,228 | — | — | ||||||||||||
Japan | 439,513,164 | 436,438,511 | 3,074,653 | — | ||||||||||||
Luxembourg | 7,332,515 | 7,332,515 | — | — | ||||||||||||
Netherlands | 83,743,850 | 83,743,850 | — | — | ||||||||||||
New Zealand | 21,426,262 | 21,426,262 | — | — | ||||||||||||
Norway | 15,097,604 | 15,097,604 | — | — | ||||||||||||
Portugal | 5,965,807 | 5,965,807 | — | — | ||||||||||||
Russia | 10,234,049 | 10,234,049 | — | — | ||||||||||||
Singapore | 35,474,543 | 35,474,543 | — | — | ||||||||||||
Spain | 32,880,752 | 32,880,752 | — | — | ||||||||||||
Sweden | 81,908,702 | 81,908,702 | — | — | ||||||||||||
Switzerland | 140,347,604 | 140,347,604 | — | — | ||||||||||||
United Kingdom | 199,067,047 | 199,067,047 | — | — | ||||||||||||
Preferred Stocks | 2,642,022 | 2,642,022 | — | — | ||||||||||||
Rights | 25,847 | 25,847 | — | — | ||||||||||||
Short-Term Investments | 43,989,276 | 42,965,353 | 1,023,923 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,987,198,663 | $ | 1,983,100,087 | $ | 4,098,576 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Futures Contracts(2) | $ | (37,596 | ) | $ | (37,596 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (37,596 | ) | $ | (37,596 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended March 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 19 |
|
Hartford Multifactor Diversified International ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% | ||||||||
Australia - 6.8% | ||||||||
835 | AGL Energy Ltd. | $ | 6,137 | |||||
430 | Ansell Ltd. | 12,851 | ||||||
1,526 | Australia & New Zealand Banking Group Ltd. | 32,753 | ||||||
1,421 | BHP Group Ltd. | 49,028 | ||||||
1,409 | BlueScope Steel Ltd. | 20,766 | ||||||
1,756 | BWP Trust REIT | 5,283 | ||||||
29 | CSL Ltd. | 5,846 | ||||||
3,617 | Dexus REIT | 26,860 | ||||||
3,300 | Fortescue Metals Group Ltd. | 50,244 | ||||||
913 | JB Hi-Fi Ltd. | 36,007 | ||||||
885 | Mineral Resources Ltd. | 25,628 | ||||||
237 | Sonic Healthcare Ltd. | 6,334 | ||||||
842 | Washington H Soul Pattinson & Co., Ltd. | 20,253 | ||||||
916 | Wesfarmers Ltd. | 36,746 | ||||||
1,283 | Woolworths Group Ltd. | 39,938 | ||||||
|
| |||||||
374,674 | ||||||||
|
| |||||||
Austria - 0.3% | ||||||||
89 | Mayr Melnhof Karton AG | 18,347 | ||||||
|
| |||||||
Belgium - 1.3% | ||||||||
36 | Ackermans & van Haaren N.V. | 5,737 | ||||||
743 | Ageas S.A. | 45,025 | ||||||
396 | Etablissements Franz Colruyt N.V. | 23,671 | ||||||
|
| |||||||
74,433 | ||||||||
|
| |||||||
Brazil - 0.6% | ||||||||
3,100 | Telefonica Brasil S.A. | 24,298 | ||||||
500 | Vale S.A. | 8,681 | ||||||
|
| |||||||
32,979 | ||||||||
|
| |||||||
Canada - 4.0% | ||||||||
218 | Alimentation Couche-Tard, Inc. Class B | 7,028 | ||||||
396 | Bank of Montreal | 35,295 | ||||||
100 | Bank of Nova Scotia | 6,255 | ||||||
300 | Barrick Gold Corp. | 5,951 | ||||||
400 | Canadian Solar, Inc.* | 19,852 | ||||||
1,082 | Empire Co., Ltd. Class A | 33,729 | ||||||
100 | Finning International, Inc. | 2,543 | ||||||
100 | George Weston Ltd. | 8,854 | ||||||
53 | Great-West Lifeco, Inc. | 1,410 | ||||||
1,300 | Kinross Gold Corp. | 8,657 | ||||||
478 | Loblaw Cos., Ltd. | 26,698 | ||||||
525 | Manulife Financial Corp. | 11,291 | ||||||
253 | Power Corp. of Canada | 6,649 | ||||||
395 | Royal Bank of Canada | 36,415 | ||||||
100 | TC Energy Corp.(1) | 4,584 | ||||||
100 | Toronto-Dominion Bank | 6,521 | ||||||
|
| |||||||
221,732 | ||||||||
|
| |||||||
Chile - 0.0% | ||||||||
228 | Empresa Nacional de Telecomunicaciones S.A. | 1,436 | ||||||
|
| |||||||
China - 6.9% | ||||||||
25 | Baidu, Inc. ADR* | 5,439 | ||||||
123,000 | Bank of China Ltd. Class H | 46,830 | ||||||
47,000 | Bank of Communications Co., Ltd. Class H | 29,925 | ||||||
38,000 | China CITIC Bank Corp. Ltd. Class H | 19,307 | ||||||
15,000 | China Construction Bank Corp. Class H | 12,618 | ||||||
23,000 | China Everbright Bank Co., Ltd. Class H | 10,029 | ||||||
4,000 | China Life Insurance Co., Ltd. Class H | 8,263 | ||||||
17,500 | China Minsheng Banking Corp. Ltd. Class H | 10,152 | ||||||
2,000 | China National Building Material Co., Ltd. Class H | 2,886 | ||||||
1,000 | China Pacific Insurance Group Co., Ltd. Class H | 3,942 | ||||||
36,000 | China Petroleum & Chemical Corp. Class H | 19,171 | ||||||
3,000 | China Railway Group Ltd. Class H | 1,586 | ||||||
1,200 | China Vanke Co., Ltd. Class H | 4,700 | ||||||
19,000 | Great Wall Motor Co., Ltd. Class H | 52,666 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
China - 6.9% - (continued) | ||||||||
9,000 | Industrial & Commercial Bank of China Ltd. Class H | $ | 6,460 | |||||
300 | JD.com, Inc. ADR* | 25,299 | ||||||
6,500 | Kerry Logistics Network Ltd. | 19,480 | ||||||
28,000 | Lenovo Group Ltd. | 39,833 | ||||||
1,500 | Li Ning Co., Ltd. | 9,743 | ||||||
2,000 | PICC Property & Casualty Co., Ltd. Class H | 1,734 | ||||||
2,000 | Ping An Insurance Group Co., of China Ltd. Class H | 23,809 | ||||||
239 | Vipshop Holdings Ltd. ADR* | 7,137 | ||||||
8,000 | Weichai Power Co., Ltd. Class H | 19,757 | ||||||
4,400 | Yangzijiang Shipbuilding Holdings Ltd. | 4,192 | ||||||
|
| |||||||
384,958 | ||||||||
|
| |||||||
Denmark - 1.2% | ||||||||
102 | Coloplast A/S Class B | 15,374 | ||||||
740 | Novo Nordisk A/S Class B | 50,256 | ||||||
|
| |||||||
65,630 | ||||||||
|
| |||||||
Finland - 0.4% | ||||||||
106 | Kone Oyj Class B | 8,679 | ||||||
12 | Neste Oyj | 638 | ||||||
275 | Orion Oyj Class B | 11,044 | ||||||
|
| |||||||
20,361 | ||||||||
|
| |||||||
France - 3.4% | ||||||||
1,216 | Bouygues S.A. | 48,863 | ||||||
189 | Carrefour S.A. | 3,431 | ||||||
111 | Cie de Saint-Gobain* | 6,565 | ||||||
93 | Cie Generale des Etablissements Michelin SCA | 13,952 | ||||||
3,258 | Electricite de France S.A.* | 43,805 | ||||||
20 | Faurecia SE* | 1,068 | ||||||
10 | L’Oreal S.A. | 3,841 | ||||||
201 | Orange S.A. | 2,482 | ||||||
369 | Sanofi | 36,538 | ||||||
104 | Schneider Electric SE | 15,920 | ||||||
253 | Suez | 5,370 | ||||||
165 | Vivendi S.A. | 5,430 | ||||||
|
| |||||||
187,265 | ||||||||
|
| |||||||
Germany - 2.8% | ||||||||
121 | Allianz SE | 30,867 | ||||||
463 | Deutsche Post AG | 25,423 | ||||||
1,265 | Deutsche Telekom AG | 25,528 | ||||||
413 | Deutsche Wohnen SE | 19,309 | ||||||
68 | Fresenius Medical Care AG & Co. KGaA | 5,013 | ||||||
43 | Lanxess AG | 3,177 | ||||||
260 | Merck KGaA | 44,553 | ||||||
|
| |||||||
153,870 | ||||||||
|
| |||||||
Hong Kong - 3.6% | ||||||||
2,000 | CK Asset Holdings Ltd. | 12,142 | ||||||
1,500 | CK Hutchison Holdings Ltd. | 11,953 | ||||||
2,000 | Dairy Farm International Holdings Ltd. | 8,620 | ||||||
1,000 | Henderson Land Development Co., Ltd. | 4,489 | ||||||
8,500 | Kerry Properties Ltd. | 27,388 | ||||||
1,500 | Orient Overseas International Ltd. | 22,091 | ||||||
2,000 | SITC International Holdings Co., Ltd. | 6,779 | ||||||
1,500 | Sun Hung Kai Properties Ltd. | 22,728 | ||||||
500 | Techtronic Industries Co., Ltd. | 8,554 | ||||||
6,400 | VTech Holdings Ltd. | 57,625 | ||||||
15,500 | WH Group Ltd.(2) | 12,560 | ||||||
2,000 | Xinyi Glass Holdings Ltd. | 6,534 | ||||||
|
| |||||||
201,463 | ||||||||
|
| |||||||
India - 0.4% | ||||||||
127 | Dr. Reddy’s Laboratories Ltd. ADR | 7,797 | ||||||
641 | Infosys Ltd. ADR | 11,999 | ||||||
|
| |||||||
19,796 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 20 |
|
Hartford Multifactor Diversified International ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Indonesia - 2.4% | ||||||||
50,300 | Adaro Energy Tbk PT | $ | 4,069 | |||||
17,200 | Astra International Tbk PT | 6,246 | ||||||
2,500 | Bank Negara Indonesia Persero Tbk PT | 985 | ||||||
182,200 | Bukit Asam Tbk PT | 32,865 | ||||||
35,800 | Indo Tambangraya Megah Tbk PT | 28,159 | ||||||
35,900 | Indofood Sukses Makmur Tbk PT | 16,313 | ||||||
58,600 | Telekomunikasi Indonesia Persero Tbk PT | 13,798 | ||||||
20,300 | United Tractors Tbk PT | 30,922 | ||||||
|
| |||||||
133,357 | ||||||||
|
| |||||||
Israel - 2.6% | ||||||||
2,185 | Airport City Ltd.* | 30,744 | ||||||
28,351 | Bezeq The Israeli Telecommunication Corp. Ltd.* | 30,360 | ||||||
94 | Check Point Software Technologies Ltd.* | 10,525 | ||||||
144 | Danel Adir Yeoshua Ltd. | 23,668 | ||||||
62 | Fox Wizel Ltd. | 7,082 | ||||||
6,211 | Mivne Real Estate KD Ltd. | 15,295 | ||||||
265 | Rami Levy Chain Stores Hashikma Marketing Ltd. | 17,252 | ||||||
1,065 | Shufersal Ltd. | 8,776 | ||||||
|
| |||||||
143,702 | ||||||||
|
| |||||||
Italy - 1.5% | ||||||||
2,844 | Enel S.p.A. | 28,388 | ||||||
461 | Prysmian S.p.A. | 15,014 | ||||||
13,884 | UnipolSai Assicurazioni S.p.A. | 41,839 | ||||||
|
| |||||||
85,241 | ||||||||
|
| |||||||
Japan - 14.9% | ||||||||
200 | Aeon Co., Ltd. | 5,971 | ||||||
500 | Alfresa Holdings Corp. | 9,652 | ||||||
2,400 | Astellas Pharma, Inc. | 36,967 | ||||||
100 | Azbil Corp. | 4,312 | ||||||
400 | Bridgestone Corp. | 16,199 | ||||||
1,600 | Brother Industries Ltd. | 35,461 | ||||||
100 | Canon, Inc. | 2,265 | ||||||
100 | Chugai Pharmaceutical Co., Ltd. | 4,062 | ||||||
400 | Daiwa House Industry Co., Ltd. | 11,732 | ||||||
300 | Fujitsu Ltd. | 43,439 | ||||||
700 | Hitachi Ltd. | 31,700 | ||||||
1,200 | Honda Motor Co., Ltd. | 36,043 | ||||||
200 | Hoya Corp. | 23,538 | ||||||
1,400 | ITOCHU Corp. | 45,446 | ||||||
900 | Iwatani Corp. | 55,629 | ||||||
2,400 | K’s Holdings Corp. | 33,035 | ||||||
1,400 | Kajima Corp. | 19,904 | ||||||
1,500 | KDDI Corp. | 46,086 | ||||||
100 | M3, Inc. | 6,852 | ||||||
100 | MEIJI Holdings Co., Ltd. | 6,443 | ||||||
600 | Mitsubishi Corp. | 16,995 | ||||||
1,600 | Mitsubishi Electric Corp. | 24,420 | ||||||
400 | Mitsui & Co., Ltd. | 8,333 | ||||||
100 | Mitsui Chemicals, Inc. | 3,163 | ||||||
200 | NEC Corp. | 11,801 | ||||||
500 | Nihon Kohden Corp. | 14,615 | ||||||
1,400 | Nippon Telegraph & Telephone Corp. | 36,007 | ||||||
500 | ORIX Corp. | 8,452 | ||||||
1,100 | Osaka Gas Co., Ltd. | 21,472 | ||||||
2,600 | Panasonic Corp. | 33,494 | ||||||
500 | Penta-Ocean Construction Co., Ltd. | 3,932 | ||||||
1,200 | Sanwa Holdings Corp. | 15,736 | ||||||
100 | Sawai Pharmaceutical Co., Ltd. | 4,860 | ||||||
400 | Sekisui Chemical Co., Ltd. | 7,692 | ||||||
400 | Sekisui House Ltd. | 8,594 | ||||||
800 | Seven & i Holdings Co., Ltd. | 32,311 | ||||||
100 | Shimamura Co., Ltd. | 11,557 | ||||||
100 | Sompo Holdings, Inc. | 3,839 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Japan - 14.9% - (continued) | ||||||||
100 | Subaru Corp. | $ | 1,995 | |||||
800 | Sumitomo Forestry Co., Ltd. | 17,274 | ||||||
200 | Taisei Corp. | 7,729 | ||||||
200 | Toho Gas Co., Ltd. | 12,362 | ||||||
400 | Tokio Marine Holdings, Inc. | 19,059 | ||||||
900 | Tokyo Gas Co., Ltd. | 20,057 | ||||||
200 | Tsumura & Co. | 7,158 | ||||||
|
| |||||||
827,643 | ||||||||
|
| |||||||
Luxembourg - 0.2% | ||||||||
169 | RTL Group S.A.* | 9,923 | ||||||
|
| |||||||
Malaysia - 2.5% | ||||||||
8,800 | Aeon Co. M Bhd | 2,738 | ||||||
16,600 | Alliance Bank Malaysia Bhd* | 10,609 | ||||||
28,800 | AMMB Holdings Bhd | 20,351 | ||||||
18,900 | CIMB Group Holdings Bhd | 19,782 | ||||||
14,000 | DiGi.Com Bhd | 12,290 | ||||||
16,000 | Malayan Banking Bhd | 31,834 | ||||||
100 | Petronas Dagangan Bhd | 483 | ||||||
2,000 | Petronas Gas Bhd | 7,717 | ||||||
15,300 | RHB Bank Bhd | 19,815 | ||||||
2,900 | TIME dotCom Bhd | 10,001 | ||||||
|
| |||||||
135,620 | ||||||||
|
| |||||||
Mexico - 0.7% | ||||||||
15,500 | America Movil S.A.B. de C.V. Class L | 10,553 | ||||||
5,400 | Coca-Cola Femsa S.A.B. de C.V. | 24,809 | ||||||
1,700 | Grupo Bimbo S.A.B. de C.V. Class A | 3,564 | ||||||
|
| |||||||
38,926 | ||||||||
|
| |||||||
Netherlands - 1.9% | ||||||||
127 | Exor N.V. | 10,738 | ||||||
1,906 | Koninklijke Ahold Delhaize N.V. | 53,203 | ||||||
438 | NN Group N.V. | 21,461 | ||||||
1,200 | Stellantis N.V. | 21,348 | ||||||
|
| |||||||
106,750 | ||||||||
|
| |||||||
New Zealand - 2.2% | ||||||||
2,181 | EBOS Group Ltd. | 45,060 | ||||||
1,952 | Fisher & Paykel Healthcare Corp. Ltd. Class C | 43,883 | ||||||
11,203 | Spark New Zealand Ltd.* | 35,070 | ||||||
|
| |||||||
124,013 | ||||||||
|
| |||||||
Norway - 0.9% | ||||||||
3,206 | Europris ASA(2) | 19,229 | ||||||
1,422 | Orkla ASA | 13,966 | ||||||
1,030 | Telenor ASA | 18,160 | ||||||
|
| |||||||
51,355 | ||||||||
|
| |||||||
Philippines - 1.9% | ||||||||
680 | Globe Telecom, Inc. | 26,338 | ||||||
3,120 | Manila Electric Co. | 17,484 | ||||||
24,940 | Metropolitan Bank & Trust Co. | 22,814 | ||||||
1,595 | PLDT, Inc. | 40,124 | ||||||
|
| |||||||
106,760 | ||||||||
|
| |||||||
Poland - 1.6% | ||||||||
783 | Asseco Poland S.A. | 13,414 | ||||||
45 | Dino Polska S.A.*(2) | 2,972 | ||||||
1,439 | Polski Koncern Naftowy ORLEN S.A. | 23,142 | ||||||
19,725 | Polskie Gornictwo Naftowe i Gazownictwo S.A. | 30,062 | ||||||
2,009 | Powszechny Zaklad Ubezpieczen S.A.* | 17,361 | ||||||
|
| |||||||
86,951 | ||||||||
|
| |||||||
Russia - 0.4% | ||||||||
2,973 | Evraz plc | 23,709 | ||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 21 |
|
Hartford Multifactor Diversified International ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Singapore - 1.1% | ||||||||
1,100 | DBS Group Holdings Ltd. | $ | 23,570 | |||||
300 | Haw Par Corp. Ltd. | 2,936 | ||||||
3,200 | Oversea-Chinese Banking Corp. Ltd. | 27,985 | ||||||
500 | Venture Corp. Ltd. | 7,465 | ||||||
|
| |||||||
61,956 | ||||||||
|
| |||||||
South Africa - 0.8% | ||||||||
2,097 | Absa Group Ltd. | 17,907 | ||||||
207 | Kumba Iron Ore Ltd. | 8,530 | ||||||
1,569 | Shoprite Holdings Ltd. | 16,695 | ||||||
|
| |||||||
43,132 | ||||||||
|
| |||||||
South Korea - 7.0% | ||||||||
442 | Daesang Corp. | 9,822 | ||||||
400 | Daesung Holdings Co., Ltd. | 10,267 | ||||||
135 | E-Mart, Inc. | 20,398 | ||||||
125 | GS Engineering & Construction Corp. | 4,749 | ||||||
345 | GS Home Shopping, Inc. | 45,756 | ||||||
495 | Handsome Co., Ltd. | 17,758 | ||||||
13 | Hankook Tire & Technology Co., Ltd. | 563 | ||||||
16 | Huons Co., Ltd. | 793 | ||||||
65 | Hyundai Glovis Co., Ltd. | 10,769 | ||||||
530 | Hyundai Home Shopping Network Corp. | 37,886 | ||||||
344 | Hyundai Marine & Fire Insurance Co., Ltd. | 7,447 | ||||||
20 | INTOPS Co., Ltd. | 543 | ||||||
734 | JB Financial Group Co., Ltd. | 4,248 | ||||||
274 | KEPCO Plant Service & Engineering Co., Ltd. | 7,626 | ||||||
149 | Kia Motors Corp. | 10,914 | ||||||
651 | Kolon Global Corp. | 12,252 | ||||||
4,784 | Korea Asset In Trust Co., Ltd. | 19,762 | ||||||
2,389 | Korean Reinsurance Co. | 17,858 | ||||||
59 | KT&G Corp. | 4,244 | ||||||
183 | LG Electronics, Inc. | 24,255 | ||||||
3,606 | LG Uplus Corp. | 39,031 | ||||||
60 | LOTTE Fine Chemical Co., Ltd. | 3,112 | ||||||
13 | NongShim Co., Ltd. | 3,257 | ||||||
18 | S-1 Corp. | 1,299 | ||||||
685 | Samsung Electronics Co., Ltd. | 49,268 | ||||||
43 | SK Telecom Co., Ltd. | 10,448 | ||||||
240 | Spigen Korea Co., Ltd. | 12,851 | ||||||
32 | Woongjin Coway Co., Ltd. | 1,852 | ||||||
|
| |||||||
389,028 | ||||||||
|
| |||||||
Spain - 0.3% | ||||||||
1,083 | Iberdrola S.A. | 13,982 | ||||||
|
| |||||||
Sweden - 3.2% | ||||||||
153 | Axfood AB(1) | 3,665 | ||||||
337 | Electrolux AB Class B | 9,364 | ||||||
218 | Holmen AB Class B | 9,589 | ||||||
11 | ICA Gruppen AB | 539 | ||||||
750 | Investor AB Class B | 59,922 | ||||||
661 | Kinnevik AB Class B* | 32,200 | ||||||
742 | L E Lundbergforetagen AB Class B* | 40,589 | ||||||
146 | Securitas AB Class B | 2,488 | ||||||
121 | Skanska AB Class B(1) | 3,040 | ||||||
60 | Swedbank AB Class A | 1,059 | ||||||
97 | Telefonaktiebolaget LM Ericsson Class B | 1,286 | ||||||
420 | Volvo AB Class B*(1) | 10,644 | ||||||
|
| |||||||
174,385 | ||||||||
|
| |||||||
Switzerland - 2.6% | ||||||||
636 | Credit Suisse Group AG | 6,691 | ||||||
107 | Kuehne + Nagel International AG | 30,662 | ||||||
16 | Nestle S.A. | 1,791 | ||||||
163 | Roche Holding AG | 52,902 | ||||||
36 | Swiss Life Holding AG | 17,771 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Switzerland - 2.6% - (continued) | ||||||||
32 | Swisscom AG | $ | 17,239 | |||||
1,171 | UBS Group AG | 18,209 | ||||||
|
| |||||||
145,265 | ||||||||
|
| |||||||
Taiwan - 6.7% | ||||||||
3,000 | Asustek Computer, Inc. | 39,165 | ||||||
22,000 | Cheng Loong Corp. | 26,909 | ||||||
5,000 | Chicony Electronics Co., Ltd. | 17,786 | ||||||
3,000 | ChipMOS Technologies, Inc. | 4,652 | ||||||
10,000 | Compal Electronics, Inc. | 9,358 | ||||||
11,000 | Coretronic Corp. | 21,975 | ||||||
2,000 | Elitegroup Computer Systems Co., Ltd.* | 2,176 | ||||||
1,000 | Feng Hsin Steel Co., Ltd. | 2,495 | ||||||
2,000 | Getac Technology Corp. | 4,108 | ||||||
4,000 | Great Wall Enterprise Co., Ltd. | 7,654 | ||||||
9,800 | Hon Hai Precision Industry Co., Ltd. | 42,589 | ||||||
12,000 | Lite-On Technology Corp. | 26,412 | ||||||
5,000 | Nantex Industry Co., Ltd. | 19,276 | ||||||
13,000 | Pegatron Corp. | 33,761 | ||||||
12,000 | Pou Chen Corp. | 13,879 | ||||||
6,000 | Qisda Corp. | 7,202 | ||||||
2,000 | Radiant Opto-Electronics Corp. | 8,902 | ||||||
11,000 | Sanyang Motor Co., Ltd. | 11,951 | ||||||
6,000 | Sigurd Microelectronics Corp. | 10,998 | ||||||
55 | Silicon Motion Technology Corp. ADR | 3,266 | ||||||
3,000 | Sino-American Silicon Products, Inc. | 17,769 | ||||||
7,000 | United Microelectronics Corp. | 12,316 | ||||||
6,000 | Wan Hai Lines Ltd. | 11,587 | ||||||
14,000 | Wistron Corp. | 16,437 | ||||||
|
| |||||||
372,623 | ||||||||
|
| |||||||
Thailand - 2.8% | ||||||||
3,600 | Advanced Info Service PCL NVDR | 19,987 | ||||||
2,600 | Bangkok Bank PCL NVDR | 10,483 | ||||||
21,400 | Bank of Ayudhya PCL NVDR | 25,680 | ||||||
46,200 | Krung Thai Bank PCL NVDR | 18,036 | ||||||
128,100 | Noble Development PCL NVDR | 34,843 | ||||||
2,900 | PTT PCL NVDR | 3,805 | ||||||
11,600 | Siam Makro PCL NVDR | 14,106 | ||||||
20,400 | Supalai PCL NVDR | 13,970 | ||||||
21,200 | United Paper PCL NVDR | 13,297 | ||||||
|
| |||||||
154,207 | ||||||||
|
| |||||||
Turkey - 1.8% | ||||||||
5,079 | AG Anadolu Grubu Holding AS | 13,796 | ||||||
353 | Arcelik A.S.* | 1,427 | ||||||
13,853 | Dogan Sirketler Grubu Holding AS | 5,406 | ||||||
28,798 | Goodyear Lastikleri AS* | 27,036 | ||||||
23,074 | Haci Omer Sabanci Holding AS | 23,977 | ||||||
9,420 | Koza Anadolu Metal Madencilik Isletmeleri AS* | 15,878 | ||||||
2,391 | Turk Telekomunikasyon AS | 1,959 | ||||||
14,239 | Turkiye Garanti Bankasi A.S.* | 11,510 | ||||||
|
| |||||||
100,989 | ||||||||
|
| |||||||
United Kingdom - 7.1% | ||||||||
396 | Admiral Group plc | 16,943 | ||||||
109 | Anglo American plc | 4,275 | ||||||
239 | Ashtead Group plc | 14,268 | ||||||
174 | AstraZeneca plc | 17,398 | ||||||
2,224 | B&M European Value Retail S.A. | 16,195 | ||||||
210 | Ferguson plc | 25,114 | ||||||
1,457 | GlaxoSmithKline plc | 25,892 | ||||||
920 | Hikma Pharmaceuticals plc | 28,890 | ||||||
475 | Howden Joinery Group plc* | 4,804 | ||||||
2,117 | IG Group Holdings plc | 26,317 | ||||||
4,846 | Kingfisher plc* | 21,282 | ||||||
3,908 | Legal & General Group plc | 15,049 |
The accompanying notes are an integral part of these financial statements.
| 22 |
|
Hartford Multifactor Diversified International ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
United Kingdom - 7.1% - (continued) | ||||||||
737 | Mondi plc | $ | 18,811 | |||||
585 | National Grid plc | 6,973 | ||||||
176 | RELX plc | 4,417 | ||||||
627 | Rio Tinto plc | 48,011 | ||||||
5,978 | Royal Mail plc* | 41,619 | ||||||
384 | Spectris plc | 17,627 | ||||||
1,558 | Standard Chartered plc | 10,737 | ||||||
106 | Unilever plc | 5,932 | ||||||
9,913 | Vodafone Group plc | 18,037 | ||||||
2,529 | WM Morrison Supermarkets plc | 6,366 | ||||||
|
| |||||||
394,957 | ||||||||
|
| |||||||
Total Common Stocks | $ | 5,481,418 | ||||||
|
| |||||||
PREFERRED STOCKS - 0.5% | ||||||||
Brazil - 0.2% | ||||||||
3,100 | Itau S.A. | 5,669 | ||||||
1,500 | Itau Unibanco Holding S.A. | 7,435 | ||||||
|
| |||||||
13,104 | ||||||||
|
| |||||||
Chile - 0.3% | ||||||||
5,851 | Embotelladora Andina S.A. Class B | 15,556 | ||||||
|
| |||||||
Total Preferred Stocks | $ | 28,660 | ||||||
|
| |||||||
Total Long-Term Investments | $ | 5,510,078 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 0.4% | ||||||||
Securities Lending Collateral - 0.4% | ||||||||
1,594 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(3) | 1,594 | ||||||
17,678 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.04%(3) | 17,678 | ||||||
|
| |||||||
19,272 | ||||||||
|
| |||||||
Total Short-Term Investments | $ | 19,272 | ||||||
|
|
Total Investments | 99.7 | % | $ | 5,529,350 | ||||||||
Other Assets and Liabilities | 0.3 | % | 18,943 | |||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 5,548,293 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At March 31, 2021, the aggregate value of these securities was $34,761, representing 0.6% of net assets. |
(3) | Current yield as of period end. |
The accompanying notes are an integral part of these financial statements.
| 23 |
|
Hartford Multifactor Diversified International ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 374,674 | $ | 374,674 | $ | — | $ | — | ||||||||
Austria | 18,347 | 18,347 | — | — | ||||||||||||
Belgium | 74,433 | 74,433 | — | — | ||||||||||||
Brazil | 32,979 | 32,979 | — | — | ||||||||||||
Canada | 221,732 | 221,732 | — | — | ||||||||||||
Chile | 1,436 | 1,436 | — | — | ||||||||||||
China | 384,958 | 384,958 | — | — | ||||||||||||
Denmark | 65,630 | 65,630 | — | — | ||||||||||||
Finland | 20,361 | 20,361 | — | — | ||||||||||||
France | 187,265 | 187,265 | — | — | ||||||||||||
Germany | 153,870 | 153,870 | — | — | ||||||||||||
Hong Kong | 201,463 | 201,463 | — | — | ||||||||||||
India | 19,796 | 19,796 | — | — | ||||||||||||
Indonesia | 133,357 | 133,357 | — | — | ||||||||||||
Israel | 143,702 | 143,702 | — | — | ||||||||||||
Italy | 85,241 | 85,241 | — | — | ||||||||||||
Japan | 827,643 | 822,783 | 4,860 | — | ||||||||||||
Luxembourg | 9,923 | 9,923 | — | — | ||||||||||||
Malaysia | 135,620 | 135,620 | — | — | ||||||||||||
Mexico | 38,926 | 38,926 | — | — | ||||||||||||
Netherlands | 106,750 | 106,750 | — | — | ||||||||||||
New Zealand | 124,013 | 124,013 | — | — | ||||||||||||
Norway | 51,355 | 51,355 | — | — | ||||||||||||
Philippines | 106,760 | 106,760 | — | — | ||||||||||||
Poland | 86,951 | 86,951 | — | — | ||||||||||||
Russia | 23,709 | 23,709 | — | — | ||||||||||||
Singapore | 61,956 | 61,956 | — | — | ||||||||||||
South Africa | 43,132 | 43,132 | — | — | ||||||||||||
South Korea | 389,028 | 389,028 | — | — | ||||||||||||
Spain | 13,982 | 13,982 | — | — | ||||||||||||
Sweden | 174,385 | 174,385 | — | — | ||||||||||||
Switzerland | 145,265 | 145,265 | — | — | ||||||||||||
Taiwan | 372,623 | 372,623 | — | — | ||||||||||||
Thailand | 154,207 | 154,207 | — | — | ||||||||||||
Turkey | 100,989 | 100,989 | — | — | ||||||||||||
United Kingdom | 394,957 | 394,957 | — | — | ||||||||||||
Preferred Stocks | 28,660 | 28,660 | — | — | ||||||||||||
Short-Term Investments | 19,272 | 19,272 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,529,350 | $ | 5,524,490 | $ | 4,860 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended March 31, 2021, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
| 24 |
|
Hartford Multifactor Emerging Markets ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% | ||||||||
Brazil - 2.7% | ||||||||
8,331 | B3 S.A. - Brasil Bolsa Balcao | $ | 80,638 | |||||
8,168 | Banco do Brasil S.A. | 44,075 | ||||||
12,746 | BB Seguridade Participacoes S.A. | 54,774 | ||||||
21,400 | Cia Energetica de Minas Gerais | 49,414 | ||||||
18,600 | Cia Siderurgica Nacional S.A. | 124,923 | ||||||
6,539 | Equatorial Energia S.A. | 28,738 | ||||||
40,445 | Telefonica Brasil S.A. | 317,009 | ||||||
22,493 | Vale S.A. | 390,508 | ||||||
|
| |||||||
1,090,079 | ||||||||
|
| |||||||
Cayman Islands - 0.1% | ||||||||
4,000 | Wuxi Biologics Cayman, Inc.*(1) | 50,087 | ||||||
|
| |||||||
Chile - 2.2% | ||||||||
1,980,435 | Banco de Chile | 234,129 | ||||||
2,552,353 | Banco Santander Chile | 159,877 | ||||||
1,144 | Cia Cervecerias Unidas S.A. | 10,061 | ||||||
408,979 | Colbun S.A. | 79,815 | ||||||
18,535 | Empresas CMPC S.A. | 59,676 | ||||||
13,683 | Empresas COPEC S.A. | 169,476 | ||||||
1,134,179 | Enel Americas S.A. | 189,609 | ||||||
|
| |||||||
902,643 | ||||||||
|
| |||||||
China - 21.7% | ||||||||
402,000 | Agricultural Bank of China Ltd. Class H | 160,811 | ||||||
6,900 | Alibaba Group Holding Ltd.* | 195,255 | ||||||
13,000 | Anhui Conch Cement Co., Ltd. Class H | 84,527 | ||||||
9,000 | ANTA Sports Products Ltd. | 146,789 | ||||||
813 | Baidu, Inc. ADR* | 176,868 | ||||||
1,044,000 | Bank of China Ltd. Class H | 397,487 | ||||||
507,000 | Bank of Communications Co., Ltd. Class H | 322,807 | ||||||
9,500 | BYD Co., Ltd. Class H | 201,500 | ||||||
605,000 | China CITIC Bank Corp. Ltd. Class H | 307,385 | ||||||
1,000 | China Conch Venture Holdings Ltd. | 4,701 | ||||||
489,000 | China Construction Bank Corp. Class H | 411,355 | ||||||
551,000 | China Everbright Bank Co., Ltd. Class H | 240,260 | ||||||
43,000 | China Life Insurance Co., Ltd. Class H | 88,827 | ||||||
86,000 | China Longyuan Power Group Corp. Ltd. Class H | 116,813 | ||||||
26,000 | China Mengniu Dairy Co., Ltd.* | 148,821 | ||||||
22,500 | China Merchants Bank Co., Ltd. Class H | 171,765 | ||||||
372,000 | China Minsheng Banking Corp. Ltd. Class H | 215,799 | ||||||
48,000 | China Pacific Insurance Group Co., Ltd. Class H | 189,235 | ||||||
464,000 | China Petroleum & Chemical Corp. Class H | 247,086 | ||||||
292,000 | China Railway Group Ltd. Class H | 154,367 | ||||||
8,500 | China Shenhua Energy Co., Ltd. Class H | 17,515 | ||||||
51,900 | China Vanke Co., Ltd. Class H | 203,276 | ||||||
56,071 | Country Garden Holdings Co., Ltd. | 71,978 | ||||||
7,400 | ENN Energy Holdings Ltd. | 118,694 | ||||||
82,000 | Fosun International Ltd. | 114,755 | ||||||
48,400 | Fuyao Glass Industry Group Co., Ltd. Class H(1) | 287,930 | ||||||
22,000 | Geely Automobile Holdings Ltd. | 55,973 | ||||||
139,000 | Great Wall Motor Co., Ltd. Class H | 385,294 | ||||||
264,000 | Guangzhou Automobile Group Co., Ltd. Class H | 221,742 | ||||||
339,000 | Industrial & Commercial Bank of China Ltd. Class H | 243,312 | ||||||
4,153 | JD.com, Inc. ADR* | 350,223 | ||||||
302,000 | Lenovo Group Ltd. | 429,628 | ||||||
53,500 | Li Ning Co., Ltd. | 347,517 | ||||||
11,000 | Longfor Properties Co., Ltd.(1) | 72,867 | ||||||
364 | NetEase, Inc. ADR | 37,587 | ||||||
13,100 | New China Life Insurance Co., Ltd. Class H | 50,719 | ||||||
1,818 | New Oriental Education & Technology Group, Inc. ADR* | 25,452 | ||||||
248,000 | PetroChina Co., Ltd. Class H | 89,637 | ||||||
66,000 | PICC Property & Casualty Co., Ltd. Class H | 57,218 | ||||||
26,500 | Ping An Insurance Group Co., of China Ltd. Class H | 315,466 | ||||||
96,000 | Postal Savings Bank of China Co., Ltd. Class H(1) | 71,743 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% - (continued) | ||||||||
China - 21.7% - (continued) | ||||||||
28,000 | Shandong Weigao Group Medical Polymer Co., Ltd. Class H | $ | 55,248 | |||||
9,500 | Shenzhou International Group Holdings Ltd. | 196,856 | ||||||
3,200 | Tencent Holdings Ltd. | 251,079 | ||||||
24,000 | Tingyi Cayman Islands Holding Corp. | 44,083 | ||||||
5,267 | Vipshop Holdings Ltd. ADR* | 157,273 | ||||||
26,000 | Weichai Power Co., Ltd. Class H | 64,210 | ||||||
112,000 | Xinyi Solar Holdings Ltd. | 184,111 | ||||||
2,564 | Yum China Holdings, Inc. | 151,814 | ||||||
94,000 | Zijin Mining Group Co., Ltd. Class H | 115,589 | ||||||
69,800 | Zoomlion Heavy Industry Science and Technology Co., Ltd. Class H | 99,657 | ||||||
429 | ZTO Express Cayman, Inc. ADR | 12,505 | ||||||
|
| |||||||
8,883,409 | ||||||||
|
| |||||||
Hong Kong - 0.2% | ||||||||
4,000 | China Resources Beer Holdings Co., Ltd. | 31,359 | ||||||
10,000 | China Resources Gas Group Ltd. | 55,438 | ||||||
8,000 | Guangdong Investment Ltd. | 13,027 | ||||||
|
| |||||||
99,824 | ||||||||
|
| |||||||
India - 4.5% | ||||||||
783 | Axis Bank Ltd. GDR* | 37,428 | ||||||
4,542 | Dr. Reddy’s Laboratories Ltd. ADR | 278,833 | ||||||
3,415 | HDFC Bank Ltd. ADR* | 265,311 | ||||||
11,160 | ICICI Bank Ltd. ADR* | 178,895 | ||||||
22,763 | Infosys Ltd. ADR | 426,123 | ||||||
4,414 | Reliance Industries Ltd. GDR(1) | 244,094 | ||||||
1,848 | State Bank of India GDR* | 91,661 | ||||||
42,372 | Wipro Ltd. ADR | 268,639 | ||||||
1,003 | WNS Holdings Ltd. ADR* | 72,657 | ||||||
|
| |||||||
1,863,641 | ||||||||
|
| |||||||
Indonesia - 3.9% | ||||||||
167,700 | Adaro Energy Tbk PT | 13,566 | ||||||
759,400 | Astra International Tbk PT | 275,789 | ||||||
3,100 | Bank Central Asia Tbk PT | 6,632 | ||||||
132,200 | Bank Mandiri Persero Tbk PT | 55,975 | ||||||
269,000 | Bank Rakyat Indonesia Persero Tbk PT | 81,487 | ||||||
975,600 | Bukit Asam Tbk PT | 175,977 | ||||||
334,500 | Harum Energy Tbk PT* | 112,383 | ||||||
210,100 | Indo Tambangraya Megah Tbk PT | 165,259 | ||||||
143,100 | Indofood Sukses Makmur Tbk PT | 65,023 | ||||||
671,600 | Merdeka Copper Gold Tbk PT* | 99,411 | ||||||
1,205,300 | Telekomunikasi Indonesia Persero Tbk PT | 283,795 | ||||||
164,900 | United Tractors Tbk PT | 251,182 | ||||||
|
| |||||||
1,586,479 | ||||||||
|
| |||||||
Malaysia - 3.9% | ||||||||
178,400 | CIMB Group Holdings Bhd | 186,725 | ||||||
241,700 | DiGi.Com Bhd | 212,176 | ||||||
34,500 | Hartalega Holdings Bhd | 74,300 | ||||||
28,200 | Hong Leong Bank Bhd | 127,177 | ||||||
139,000 | Malayan Banking Bhd | 276,558 | ||||||
9,600 | Malaysian Pacific Industries Bhd | 90,061 | ||||||
6,100 | Maxis Bhd | 6,649 | ||||||
46,000 | Petronas Chemicals Group Bhd | 88,750 | ||||||
50,800 | Petronas Gas Bhd | 196,021 | ||||||
40,500 | Public Bank Bhd | 41,023 | ||||||
33,600 | Tenaga Nasional Bhd | 82,005 | ||||||
41,900 | TIME dotCom Bhd | 144,500 | ||||||
74,500 | Top Glove Corp. Bhd | 81,211 | ||||||
|
| |||||||
1,607,156 | ||||||||
|
| |||||||
Mexico - 4.6% | ||||||||
567,153 | America Movil S.A.B. de C.V. Class L | 386,131 | ||||||
46,446 | Coca-Cola Femsa S.A.B. de C.V. | 213,383 |
The accompanying notes are an integral part of these financial statements.
| 25 |
|
Hartford Multifactor Emerging Markets ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% - (continued) | ||||||||
Mexico - 4.6% - (continued) | ||||||||
22,065 | El Puerto de Liverpool S.A.B. de C.V. Class C1 | $ | 77,603 | |||||
21,964 | Fomento Economico Mexicano S.A.B. de C.V. | 165,316 | ||||||
6,126 | Gruma S.A.B. de C.V. Class B | 72,456 | ||||||
61,200 | Grupo Bimbo S.A.B. de C.V. Class A | 128,320 | ||||||
2,360 | Grupo Elektra S.A.B. de C.V. | 158,466 | ||||||
22,402 | Grupo Financiero Banorte S.A.B. de C.V. Class O* | 126,186 | ||||||
47,500 | Grupo Mexico S.A.B. de C.V. Class B | 250,124 | ||||||
92,582 | Wal-Mart de Mexico S.A.B. de C.V. | 292,083 | ||||||
|
| |||||||
1,870,068 | ||||||||
|
| |||||||
Philippines - 2.1% | ||||||||
6,265 | Ayala Corp. | 95,516 | ||||||
35,670 | BDO Unibank, Inc. | 74,959 | ||||||
5,180 | Globe Telecom, Inc. | 200,637 | ||||||
15,830 | Manila Electric Co. | 88,710 | ||||||
96,500 | Metropolitan Bank & Trust Co. | 88,274 | ||||||
10,155 | PLDT, Inc. | 255,457 | ||||||
3,085 | SM Investments Corp. | 61,017 | ||||||
|
| |||||||
864,570 | ||||||||
|
| |||||||
Poland - 2.6% | ||||||||
6,221 | Asseco Poland S.A. | 106,573 | ||||||
752 | Cyfrowy Polsat S.A. | 5,633 | ||||||
3,237 | Dino Polska S.A.*(1) | 213,776 | ||||||
1,479 | KGHM Polska Miedz S.A.* | 71,289 | ||||||
15,525 | Polski Koncern Naftowy ORLEN S.A. | 249,675 | ||||||
81,549 | Polskie Gornictwo Naftowe i Gazownictwo S.A. | 124,287 | ||||||
8,533 | Powszechna Kasa Oszczednosci Bank Polski S.A.* | 70,777 | ||||||
25,569 | Powszechny Zaklad Ubezpieczen S.A.* | 220,959 | ||||||
|
| |||||||
1,062,969 | ||||||||
|
| |||||||
Russia - 3.3% | ||||||||
30,668 | Gazprom PJSC ADR | 182,904 | ||||||
1,606 | LUKOIL PJSC ADR | 129,861 | ||||||
6,018 | Magnit PJSC GDR | 90,210 | ||||||
9,414 | Magnitogorsk Iron & Steel Works PJSC GDR | 97,529 | ||||||
7,016 | MMC Norilsk Nickel PJSC ADR | 218,759 | ||||||
2,958 | Mobile TeleSystems PJSC ADR | 24,670 | ||||||
958 | Novolipetsk Steel PJSC GDR | 30,541 | ||||||
6,225 | PhosAgro PJSC GDR | 108,439 | ||||||
252 | Polyus PJSC GDR | 23,197 | ||||||
15,375 | Sberbank of Russia PJSC ADR | 236,852 | ||||||
9,877 | Severstal PAO GDR | 199,318 | ||||||
|
| |||||||
1,342,280 | ||||||||
|
| |||||||
South Africa - 2.1% | ||||||||
13,202 | Absa Group Ltd. | 112,733 | ||||||
26,610 | FirstRand Ltd. | 93,024 | ||||||
3,506 | Kumba Iron Ore Ltd. | 144,478 | ||||||
21,313 | Shoprite Holdings Ltd. | 226,781 | ||||||
2,121 | SPAR Group Ltd. | 27,275 | ||||||
9,093 | Standard Bank Group Ltd. | 77,239 | ||||||
20,253 | Vodacom Group Ltd. | 173,175 | ||||||
|
| |||||||
854,705 | ||||||||
|
| |||||||
South Korea - 17.0% | ||||||||
1,174 | Cheil Worldwide, Inc. | 22,043 | ||||||
463 | Chong Kun Dang Pharmaceutical Corp. | 56,456 | ||||||
12 | CJ CheilJedang Corp. | 4,358 | ||||||
345 | Com2uSCorp | 51,518 | ||||||
2,708 | Daesang Corp. | 60,178 | ||||||
9,545 | Daesung Holdings Co., Ltd. | 245,003 | ||||||
2,852 | Danawa Co., Ltd. | 84,168 | ||||||
304 | DI Dong Il Corp. | 46,067 | ||||||
3,058 | DongKook Pharmaceutical Co., Ltd. | 75,656 | ||||||
1,323 | DoubleUGames Co., Ltd. | 80,076 | ||||||
1,041 | E-Mart, Inc. | 157,288 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% - (continued) | ||||||||
South Korea - 17.0% - (continued) | ||||||||
711 | Gravity Co., Ltd. ADR* | $ | 81,765 | |||||
1,514 | GS Engineering & Construction Corp. | 57,523 | ||||||
2,615 | GS Home Shopping, Inc. | 346,818 | ||||||
1,199 | Hana Financial Group, Inc. | 45,343 | ||||||
11,132 | Hancom, Inc.* | 174,099 | ||||||
3,156 | Handsome Co., Ltd. | 113,217 | ||||||
3,262 | Hankook Tire & Technology Co., Ltd. | 141,375 | ||||||
8,282 | Hanon Systems | 129,160 | ||||||
30 | Hansol Chemical Co., Ltd. | 6,388 | ||||||
3,960 | Huchems Fine Chemical Corp. | 76,278 | ||||||
61 | Huons Co., Ltd. | 3,024 | ||||||
599 | Hyundai Glovis Co., Ltd. | 99,238 | ||||||
4,034 | Hyundai Home Shopping Network Corp. | 288,359 | ||||||
4,000 | Hyundai Marine & Fire Insurance Co., Ltd. | 86,592 | ||||||
70 | Hyundai Motor Co. | 13,484 | ||||||
7,525 | INTOPS Co., Ltd. | 204,457 | ||||||
21,031 | JB Financial Group Co., Ltd. | 121,717 | ||||||
1,406 | JoyCity Corp.* | 11,790 | ||||||
1,833 | KC Co., Ltd. | 44,135 | ||||||
2,542 | Kia Motors Corp. | 186,200 | ||||||
3,173 | Kolon Global Corp. | 59,717 | ||||||
547 | KoMiCo Ltd. | 31,029 | ||||||
48,926 | Korea Asset In Trust Co., Ltd. | 202,102 | ||||||
1,117 | Korea Ratings Corp. | 87,445 | ||||||
16,982 | Korean Reinsurance Co. | 126,943 | ||||||
1,843 | KT&G Corp. | 132,556 | ||||||
236 | LEENO Industrial, Inc. | 32,634 | ||||||
147 | LG Chem Ltd. | 104,559 | ||||||
2,099 | LG Electronics, Inc. | 278,197 | ||||||
24,163 | LG Uplus Corp. | 261,539 | ||||||
673 | LOTTE Fine Chemical Co., Ltd. | 34,906 | ||||||
6,804 | Meritz Fire & Marine Insurance Co., Ltd. | 116,331 | ||||||
744 | NAVER Corp. | 247,836 | ||||||
46 | NCSoft Corp. | 35,483 | ||||||
774 | NICE Information Service Co., Ltd. | 17,337 | ||||||
336 | NongShim Co., Ltd. | 84,167 | ||||||
304 | Park Systems Corp. | 35,994 | ||||||
409 | Pearl Abyss Corp.* | 111,343 | ||||||
136 | POSCO | 38,454 | ||||||
5,581 | Posco ICT Co., Ltd. | 36,245 | ||||||
905 | S-1 Corp. | 65,331 | ||||||
253 | Samsung Electro-Mechanics Co., Ltd. | 41,915 | ||||||
5,363 | Samsung Electronics Co., Ltd. | 385,728 | ||||||
309 | Samsung SDI Co., Ltd. | 180,199 | ||||||
2,312 | Samsung Securities Co., Ltd. | 80,591 | ||||||
768 | Sebang Global Battery Co., Ltd. | 52,863 | ||||||
881 | Silicon Works Co., Ltd. | 58,850 | ||||||
2,988 | SK Hynix, Inc. | 349,821 | ||||||
112 | SK Materials Co., Ltd. | 30,777 | ||||||
1,024 | SK Telecom Co., Ltd. | 248,818 | ||||||
2,352 | Spigen Korea Co., Ltd. | 125,939 | ||||||
10,541 | Ssangyong Cement Industrial Co., Ltd. | 71,531 | ||||||
576 | Woongjin Coway Co., Ltd. | 33,336 | ||||||
1,095 | Yuhan Corp. | 60,954 | ||||||
|
| |||||||
6,975,243 | ||||||||
|
| |||||||
Taiwan - 17.4% | ||||||||
9,000 | Accton Technology Corp. | 87,057 | ||||||
86,000 | Acer, Inc. | 94,792 | ||||||
2,000 | Advantech Co., Ltd. | 24,813 | ||||||
9,000 | Ardentec Corp. | 14,194 | ||||||
24,000 | Asia Vital Components Co., Ltd. | 57,365 | ||||||
21,000 | Asustek Computer, Inc. | 274,156 | ||||||
125,000 | Chang Wah Electromaterials, Inc. | 178,521 | ||||||
161,000 | Cheng Loong Corp. | 196,926 | ||||||
27,000 | Cheng Uei Precision Industry Co., Ltd. | 45,468 |
The accompanying notes are an integral part of these financial statements.
| 26 |
|
Hartford Multifactor Emerging Markets ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% - (continued) | ||||||||
Taiwan - 17.4% - (continued) | ||||||||
58,431 | Chicony Electronics Co., Ltd. | $ | 207,856 | |||||
4,000 | Chipbond Technology Corp. | 10,893 | ||||||
42,000 | ChipMOS Technologies, Inc. | 65,135 | ||||||
10,000 | Chung-Hsin Electric & Machinery Manufacturing Corp. | 18,505 | ||||||
35,000 | Chunghwa Telecom Co., Ltd. | 136,772 | ||||||
254,000 | Compal Electronics, Inc. | 237,683 | ||||||
107,000 | Coretronic Corp. | 213,753 | ||||||
16,000 | Delta Electronics, Inc. | 161,497 | ||||||
30,000 | Elite Semiconductor Microelectronics Technology, Inc. | 109,347 | ||||||
149,000 | Elitegroup Computer Systems Co., Ltd.* | 162,144 | ||||||
52,000 | Everlight Electronics Co., Ltd. | 84,197 | ||||||
18,000 | Far EasTone Telecommunications Co., Ltd. | 40,437 | ||||||
54,000 | Feng Hsin Steel Co., Ltd. | 134,749 | ||||||
3,000 | FocalTech Systems Co., Ltd.* | 19,031 | ||||||
76,000 | Getac Technology Corp. | 156,086 | ||||||
13,000 | Gold Circuit Electronics Ltd.* | 25,606 | ||||||
14,000 | Great Wall Enterprise Co., Ltd. | 26,790 | ||||||
39,000 | Greatek Electronics, Inc. | 97,046 | ||||||
99,224 | Hon Hai Precision Industry Co., Ltd. | 431,212 | ||||||
60,000 | Inventec Corp. | 56,776 | ||||||
11,000 | Kenda Rubber Industrial Co., Ltd. | 17,001 | ||||||
9,000 | King Yuan Electronics Co., Ltd. | 12,996 | ||||||
110,245 | Lite-On Technology Corp. | 242,645 | ||||||
1,000 | Lotes Co., Ltd. | 17,506 | ||||||
7,000 | Micro-Star International Co., Ltd. | 42,687 | ||||||
70,000 | Nantex Industry Co., Ltd. | 269,863 | ||||||
11,000 | Novatek Microelectronics Corp. | 221,673 | ||||||
91,000 | Pegatron Corp. | 236,326 | ||||||
38,000 | Pou Chen Corp. | 43,949 | ||||||
2,000 | President Chain Store Corp. | 19,066 | ||||||
11,000 | Primax Electronics Ltd. | 24,519 | ||||||
213,000 | Qisda Corp. | 255,678 | ||||||
28,000 | Quanta Computer, Inc. | 96,169 | ||||||
21,000 | Radiant Opto-Electronics Corp. | 93,471 | ||||||
205,000 | Sanyang Motor Co., Ltd. | 222,725 | ||||||
71,534 | Sigurd Microelectronics Corp. | 131,119 | ||||||
2,000 | Simplo Technology Co., Ltd. | 26,005 | ||||||
25,000 | Sino-American Silicon Products, Inc. | 148,074 | ||||||
104,000 | Synnex Technology International Corp. | 198,647 | ||||||
7,000 | Taiwan Mobile Co., Ltd. | 24,091 | ||||||
18,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 370,308 | ||||||
18,000 | Topco Scientific Co., Ltd. | 86,111 | ||||||
102,000 | Tung Ho Steel Enterprise Corp. | 159,258 | ||||||
2,000 | TXC Corp. | 7,185 | ||||||
154,000 | United Microelectronics Corp. | 270,942 | ||||||
10,000 | Vanguard International Semiconductor Corp. | 37,851 | ||||||
77,000 | Wan Hai Lines Ltd. | 148,695 | ||||||
24,000 | Winbond Electronics Corp. | 24,813 | ||||||
132,686 | Wistron Corp. | 155,784 | ||||||
7,000 | Wistron NeWeb Corp. | 18,277 | ||||||
10,000 | WPG Holdings Ltd. | 17,103 | ||||||
86,000 | YFY, Inc. | 94,943 | ||||||
|
| |||||||
7,104,287 | ||||||||
|
| |||||||
Thailand - 5.1% | ||||||||
57,347 | Advanced Info Service PCL NVDR | 318,391 | ||||||
10,200 | Bangkok Bank PCL NVDR | 41,126 | ||||||
136,400 | Bangkok Dusit Medical Services PCL NVDR | 94,280 | ||||||
154,900 | Bank of Ayudhya plc NVDR | 185,880 | ||||||
30,700 | CP ALL PCL NVDR* | 68,031 | ||||||
13,600 | Delta Electronics Thailand PCL NVDR | 126,208 | ||||||
64,900 | Intouch Holdings PCL NVDR | 120,454 | ||||||
83,800 | Krung Thai Bank PCL NVDR | 32,716 | ||||||
719,100 | Noble Development PCL NVDR | 195,595 | ||||||
30,600 | PTT Exploration & Production PCL NVDR | 111,629 | ||||||
164,000 | PTT PCL NVDR | 215,168 | ||||||
14,600 | Siam Cement PCL NVDR | 186,413 | ||||||
112,500 | Siam Makro PCL NVDR | 136,800 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 96.7% - (continued) | ||||||||
Thailand - 5.1% - (continued) | ||||||||
4,800 | Sri Trang Agro-Industry PCL NVDR | $ | 7,181 | |||||
245,300 | Supalai PCL NVDR | 167,981 | ||||||
110,000 | United Paper PCL NVDR | 68,992 | ||||||
|
| |||||||
2,076,845 | ||||||||
|
| |||||||
Turkey - 3.3% | ||||||||
14,332 | AG Anadolu Grubu Holding AS | 38,929 | ||||||
58,987 | Aksa Enerji Uretim AS* | 82,534 | ||||||
54,980 | Arcelik AS* | 222,278 | ||||||
23,546 | BIM Birlesik Magazalar AS | 200,858 | ||||||
120 | EGE Endustri VE Ticaret AS | 22,894 | ||||||
97,382 | Enka Insaat ve Sanayi AS | 93,190 | ||||||
183,575 | Goodyear Lastikleri AS* | 172,346 | ||||||
74,298 | Haci Omer Sabanci Holding AS | 77,204 | ||||||
31,666 | Iskenderun Demir ve Celik AS | 46,028 | ||||||
1,328 | Tofas Turk Otomobil Fabrikasi AS | 5,311 | ||||||
164,780 | Turk Telekomunikasyon AS | 134,990 | ||||||
172,935 | Turkiye Garanti Bankasi AS* | 139,790 | ||||||
16,487 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 122,314 | ||||||
|
| |||||||
1,358,666 | ||||||||
|
| |||||||
Total Common Stocks | $ | 39,592,951 | ||||||
|
| |||||||
PREFERRED STOCKS - 2.7% | ||||||||
Brazil - 2.1% | ||||||||
50,961 | Banco Bradesco S.A. | 241,755 | ||||||
35,853 | Cia de Transmissao de Energia Eletrica Paulista | 160,935 | ||||||
11,880 | Cia Paranaense de Energia | 15,011 | ||||||
57,071 | Itau S.A. | 104,372 | ||||||
70,161 | Itau Unibanco Holding S.A. | 347,759 | ||||||
|
| |||||||
869,832 | ||||||||
|
| |||||||
Chile - 0.6% | ||||||||
38,388 | Embotelladora Andina S.A. Class B | 102,062 | ||||||
477 | Sociedad Quimica y Minera de Chile S.A.* | 1,911 | ||||||
2,563 | Sociedad Quimica y Minera de Chile S.A. Series B | 137,390 | ||||||
|
| |||||||
241,363 | ||||||||
|
| |||||||
Total Preferred Stocks | $ | 1,111,195 | ||||||
|
| |||||||
Total Long-Term Investments | $ | 40,704,146 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 0.1% | ||||||||
U.S. Treasury Securities - 0.1% | ||||||||
U.S. Treasury Bills - 0.1% | ||||||||
$ | 6,000 | 0.02%, 06/24/2021(2)(3) | 6,000 | |||||
14,000 | 0.03%, 06/24/2021(2)(3) | 13,999 | ||||||
|
| |||||||
19,999 | ||||||||
|
| |||||||
Total Short-Term Investments | $ | 19,999 | ||||||
|
|
Total Investments | 99.5 | % | $ | 40,724,145 | ||||||||
Other Assets and Liabilities | 0.5 | % | 208,370 | |||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 40,932,515 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
The accompanying notes are an integral part of these financial statements.
| 27 |
|
Hartford Multifactor Emerging Markets ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At March 31, 2021, the aggregate value of these securities was $940,497, representing 2.3% of net assets. |
(2) | The rate shown represents current yield to maturity. |
(3) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2021, the market value of securities pledged was $19,999. |
Futures Contracts Outstanding at March 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
MSCI Emerging Market Index Future | 3 | 06/18/2021 | $ | 198,375 | $ | (1,687 | ) | |||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (1,687 | ) | ||||||||||||
|
|
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Brazil | $ | 1,090,079 | $ | 1,090,079 | $ | — | $ | — | ||||||||
Cayman Islands | 50,087 | 50,087 | — | — | ||||||||||||
Chile | 902,643 | 902,643 | — | — | ||||||||||||
China | 8,883,409 | 8,883,409 | — | — | ||||||||||||
Hong Kong | 99,824 | 99,824 | — | — | ||||||||||||
India | 1,863,641 | 1,863,641 | — | — | ||||||||||||
Indonesia | 1,586,479 | 1,586,479 | — | — | ||||||||||||
Malaysia | 1,607,156 | 1,607,156 | — | — | ||||||||||||
Mexico | 1,870,068 | 1,870,068 | — | — | ||||||||||||
Philippines | 864,570 | 864,570 | — | — | ||||||||||||
Poland | 1,062,969 | 1,062,969 | — | — | ||||||||||||
Russia | 1,342,280 | 1,342,280 | — | — | ||||||||||||
South Africa | 854,705 | 854,705 | — | — | ||||||||||||
South Korea | 6,975,243 | 6,975,243 | — | — | ||||||||||||
Taiwan | 7,104,287 | 7,104,287 | — | — | ||||||||||||
Thailand | 2,076,845 | 2,076,845 | — | — | ||||||||||||
Turkey | 1,358,666 | 1,358,666 | — | — | ||||||||||||
Preferred Stocks | 1,111,195 | 1,111,195 | — | — | ||||||||||||
Short-Term Investments | 19,999 | — | 19,999 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 40,724,145 | $ | 40,704,146 | $ | 19,999 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Futures Contracts(2) | $ | (1,687 | ) | $ | (1,687 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,687 | ) | $ | (1,687 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended March 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 28 |
|
Hartford Multifactor Small Cap ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% | ||||||||
Automobiles & Components - 0.0% | ||||||||
45 | Patrick Industries, Inc. | $ | 3,825 | |||||
|
| |||||||
Banks - 7.5% | ||||||||
126 | Associated Banc-Corp. | 2,689 | ||||||
9 | Axos Financial, Inc.* | 423 | ||||||
1,493 | Bancorp, Inc.* | 30,935 | ||||||
67 | BancorpSouth Bank | 2,176 | ||||||
64 | Banner Corp. | 3,413 | ||||||
548 | Capitol Federal Financial, Inc. | 7,258 | ||||||
200 | Cathay General Bancorp | 8,156 | ||||||
316 | Central Pacific Financial Corp. | 8,431 | ||||||
101 | City Holding Co. | 8,260 | ||||||
111 | Community Trust Bancorp, Inc. | 4,887 | ||||||
659 | CVB Financial Corp. | 14,557 | ||||||
3,263 | First BanCorp | 39,192 | ||||||
1,062 | First Busey Corp. | 27,240 | ||||||
334 | First Financial Corp. | 15,033 | ||||||
487 | First Hawaiian, Inc. | 13,329 | ||||||
1,898 | First Interstate BancSystem, Inc. Class A | 87,384 | ||||||
113 | First Merchants Corp. | 5,254 | ||||||
269 | Fulton Financial Corp. | 4,581 | ||||||
36 | Great Southern Bancorp, Inc. | 2,040 | ||||||
202 | Heartland Financial USA, Inc. | 10,152 | ||||||
325 | Heritage Financial Corp. | 9,178 | ||||||
535 | Hilltop Holdings, Inc. | 18,260 | ||||||
225 | HomeStreet, Inc. | 9,916 | ||||||
2,334 | Hope Bancorp, Inc. | 35,150 | ||||||
536 | Independent Bank Corp. | 14,488 | ||||||
172 | Lakeland Financial Corp. | 11,901 | ||||||
218 | Meridian Bancorp, Inc. | 4,016 | ||||||
112 | Midland States Bancorp, Inc. | 3,107 | ||||||
810 | Mr Cooper Group, Inc.* | 28,156 | ||||||
151 | NBT Bancorp, Inc. | 6,025 | ||||||
346 | Nicolet Bankshares, Inc.* | 28,877 | ||||||
994 | Northwest Bancshares, Inc. | 14,363 | ||||||
1,196 | Old National Bancorp | 23,131 | ||||||
73 | Park National Corp. | 9,439 | ||||||
183 | PennyMac Financial Services, Inc. | 12,237 | ||||||
73 | Peoples Bancorp, Inc. | 2,421 | ||||||
140 | Preferred Bank | 8,915 | ||||||
72 | QCR Holdings, Inc. | 3,400 | ||||||
205 | Renasant Corp. | 8,483 | ||||||
57 | ServisFirst Bancshares, Inc. | 3,496 | ||||||
532 | Simmons First National Corp. Class A | 15,784 | ||||||
76 | Stock Yards Bancorp, Inc. | 3,881 | ||||||
507 | Towne Bank | 15,413 | ||||||
221 | TriCo Bancshares | 10,469 | ||||||
1,770 | TrustCo Bank Corp. | 13,045 | ||||||
702 | Trustmark Corp. | 23,629 | ||||||
85 | UMB Financial Corp. | 7,848 | ||||||
179 | Univest Financial Corp. | 5,118 | ||||||
328 | Walker & Dunlop, Inc. | 33,699 | ||||||
118 | Washington Federal, Inc. | 3,634 | ||||||
62 | Washington Trust Bancorp, Inc. | 3,201 | ||||||
871 | Waterstone Financial, Inc. | 17,786 | ||||||
|
| |||||||
703,856 | ||||||||
|
| |||||||
Capital Goods - 7.5% | ||||||||
95 | Alamo Group, Inc. | 14,834 | ||||||
3,660 | Alpha Pro Tech Ltd.*(1) | 35,722 | ||||||
163 | Ameresco, Inc. Class A* | 7,927 | ||||||
312 | Applied Industrial Technologies, Inc. | 28,445 | ||||||
920 | Atkore International Group, Inc* | 66,148 | ||||||
865 | BlueLinx Holdings, Inc.* | 33,899 | ||||||
333 | Boise Cascade Co. | 19,923 | ||||||
356 | Comfort Systems USA, Inc. | 26,618 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Capital Goods - 7.5% - (continued) | ||||||||
466 | Federal Signal Corp. | $ | 17,848 | |||||
1,422 | GMS, Inc.* | 59,369 | ||||||
1,868 | Great Lakes Dredge & Dock Corp.* | 27,236 | ||||||
328 | Greenbrier Cos., Inc. | 15,488 | ||||||
445 | IES Holdings, Inc.* | 22,433 | ||||||
96 | Kadant, Inc. | 17,761 | ||||||
1,972 | Meritor, Inc.* | 58,016 | ||||||
669 | Miller Industries, Inc. | 30,901 | ||||||
896 | MSC Industrial Direct Co., Inc. Class A | 80,810 | ||||||
1,270 | MYR Group, Inc.* | 91,021 | ||||||
217 | National Presto Industries, Inc. | 22,149 | ||||||
185 | Primoris Services Corp. | 6,129 | ||||||
383 | Sterling Construction Co., Inc.* | 8,886 | ||||||
327 | Systemax, Inc. | 13,446 | ||||||
129 | Trinity Industries, Inc. | 3,675 | ||||||
|
| |||||||
708,684 | ||||||||
|
| |||||||
Commercial & Professional Services - 3.7% | ||||||||
86 | Barrett Business Services, Inc. | 5,922 | ||||||
743 | Brady Corp. Class A | 39,713 | ||||||
187 | CBIZ, Inc.* | 6,107 | ||||||
1,533 | Ennis, Inc. | 32,730 | ||||||
465 | Healthcare Services Group, Inc. | 13,034 | ||||||
685 | Herman Miller, Inc. | 28,188 | ||||||
817 | HNI Corp. | 32,320 | ||||||
534 | Kforce, Inc. | 28,622 | ||||||
1,564 | Kimball International, Inc. Class B | 21,896 | ||||||
175 | McGrath Rent Corp. | 14,114 | ||||||
1,662 | Resources Connection, Inc. | 22,503 | ||||||
3,227 | Steelcase, Inc. Class A | 46,437 | ||||||
331 | TriNet Group, Inc.* | 25,805 | ||||||
131 | UniFirst Corp. | 29,306 | ||||||
|
| |||||||
346,697 | ||||||||
|
| |||||||
Consumer Durables & Apparel - 3.6% | ||||||||
361 | Acushnet Holdings Corp. | 14,920 | ||||||
864 | Escalade, Inc. | 18,066 | ||||||
1,950 | Ethan Allen Interiors, Inc. | 53,839 | ||||||
1,229 | Green Brick Partners, Inc.* | 27,874 | ||||||
302 | Johnson Outdoors, Inc. Class A | 43,110 | ||||||
2,307 | Lakeland Industries, Inc.* | 64,273 | ||||||
244 | Malibu Boats, Inc. Class A* | 19,442 | ||||||
143 | MDC Holdings, Inc. | 8,494 | ||||||
563 | Nautilus, Inc.* | 8,805 | ||||||
685 | Sturm Ruger & Co., Inc. | 45,258 | ||||||
17 | Superior Group of Cos., Inc. | 432 | ||||||
388 | Tupperware Brands Corp.* | 10,247 | ||||||
474 | Turtle Beach Corp.* | 12,642 | ||||||
386 | Vera Bradley, Inc.* | 3,899 | ||||||
123 | Vista Outdoor, Inc.* | 3,945 | ||||||
|
| |||||||
335,246 | ||||||||
|
| |||||||
Consumer Services - 1.4% | ||||||||
1,346 | American Public Education, Inc.* | 47,958 | ||||||
682 | H&R Block, Inc. | 14,868 | ||||||
2,141 | Perdoceo Education Corp.* | 25,606 | ||||||
1,564 | Stride, Inc.* | 47,092 | ||||||
|
| |||||||
135,524 | ||||||||
|
| |||||||
Diversified Financials - 3.9% | ||||||||
774 | Artisan Partners Asset Management, Inc. Class A | 40,380 | ||||||
176 | B. Riley Financial, Inc. | 9,923 | ||||||
190 | Cannae Holdings, Inc.* | 7,528 | ||||||
666 | Cowen, Inc. Class A | 23,410 | ||||||
145 | Diamond Hill Investment Group, Inc. | 22,621 | ||||||
1,122 | Donnelley Financial Solutions, Inc.* | 31,225 | ||||||
709 | Houlihan Lokey, Inc. | 47,156 |
The accompanying notes are an integral part of these financial statements.
| 29 |
|
Hartford Multifactor Small Cap ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Diversified Financials - 3.9% - (continued) | ||||||||
251 | Moelis & Co. Class A | $ | 13,775 | |||||
153 | Oppenheimer Holdings, Inc. Class A | 6,128 | ||||||
93 | PRA Group, Inc.* | 3,448 | ||||||
40 | Regional Management Corp. | 1,386 | ||||||
559 | StoneX Group, Inc.* | 36,547 | ||||||
1,284 | Virtu Financial, Inc. Class A | 39,868 | ||||||
3,500 | Waddell & Reed Financial, Inc. Class A | 87,675 | ||||||
|
| |||||||
371,070 | ||||||||
|
| |||||||
Energy - 3.6% | ||||||||
499 | Bonanza Creek Energy, Inc.* | 17,829 | ||||||
118 | Centrus Energy Corp. Class A* | 2,799 | ||||||
6,827 | Clean Energy Fuels Corp.* | 93,803 | ||||||
14,037 | DHT Holdings, Inc. | 83,240 | ||||||
2,612 | National Energy Services Reunited Corp.* | 32,311 | ||||||
1,079 | Renewable Energy Group, Inc.* | 71,257 | ||||||
220 | Solaris Oilfield Infrastructure, Inc. Class A | 2,699 | ||||||
3,719 | W&T Offshore, Inc.* | 13,351 | ||||||
710 | World Fuel Services Corp. | 24,992 | ||||||
|
| |||||||
342,281 | ||||||||
|
| |||||||
Food & Staples Retailing - 2.8% | ||||||||
1,236 | Ingles Markets, Inc. Class A | 76,199 | ||||||
72 | PriceSmart, Inc. | 6,966 | ||||||
1,542 | SpartanNash Co. | 30,270 | ||||||
3,053 | Sprouts Farmers Market, Inc.* | 81,271 | ||||||
148 | United Natural Foods, Inc.* | 4,875 | ||||||
1,062 | Weis Markets, Inc. | 60,024 | ||||||
|
| |||||||
259,605 | ||||||||
|
| |||||||
Food, Beverage & Tobacco - 1.7% | ||||||||
50 | Coca-Cola Consolidated, Inc. | 14,439 | ||||||
572 | John B Sanfilippo & Son, Inc. | 51,692 | ||||||
1 | Mehadrin Ltd.* | 29 | ||||||
363 | National Beverage Corp. | 17,754 | ||||||
212 | Pilgrim’s Pride Corp.* | 5,044 | ||||||
308 | Universal Corp. | 18,169 | ||||||
3,911 | Vector Group Ltd. | 54,558 | ||||||
|
| |||||||
161,685 | ||||||||
|
| |||||||
Health Care Equipment & Services - 10.3% | ||||||||
318 | Acadia Healthcare Co., Inc.* | 18,171 | ||||||
439 | Addus HomeCare Corp.* | 45,915 | ||||||
2,752 | Allscripts Healthcare Solutions, Inc.* | 41,321 | ||||||
804 | AMN Healthcare Services, Inc.* | 59,255 | ||||||
483 | Apollo Medical Holdings, Inc.* | 13,084 | ||||||
6 | Atrion Corp. | 3,848 | ||||||
637 | Avanos Medical, Inc.* | 27,862 | ||||||
14 | BioLife Solutions, Inc.* | 504 | ||||||
2,450 | Co-Diagnostics, Inc.*(1) | 23,373 | ||||||
327 | Computer Programs & Systems, Inc. | 10,006 | ||||||
142 | Corvel Corp.* | 14,568 | ||||||
333 | Fulgent Genetics, Inc.* | 32,174 | ||||||
411 | Hanger, Inc.* | 9,379 | ||||||
204 | ICU Medical, Inc.* | 41,910 | ||||||
1,834 | InfuSystem Holdings, Inc.* | 37,340 | ||||||
1,071 | Inovalon Holdings, Inc. Class A* | 30,823 | ||||||
235 | Integer Holdings Corp.* | 21,644 | ||||||
471 | Joint Corp.* | 22,782 | ||||||
138 | LeMaitre Vascular, Inc. | 6,732 | ||||||
628 | Magellan Health, Inc.* | 58,555 | ||||||
4,178 | Meridian Bioscience, Inc.* | 109,673 | ||||||
291 | Merit Medical Systems, Inc.* | 17,425 | ||||||
328 | ModivCare, Inc.* | 48,583 | ||||||
321 | MTBC, Inc.* | 2,668 | ||||||
320 | National HealthCare Corp. | 24,931 | ||||||
779 | NextGen Healthcare, Inc.* | 14,100 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Health Care Equipment & Services - 10.3% - (continued) | ||||||||
1,953 | OraSure Technologies, Inc.* | $ | 22,792 | |||||
506 | Orthofix Medical, Inc.* | 21,935 | ||||||
1,233 | Owens & Minor, Inc. | 46,348 | ||||||
1,278 | Patterson Cos., Inc. | 40,832 | ||||||
1,386 | Select Medical Holdings Corp.* | 47,263 | ||||||
106 | Simulations Plus, Inc. | 6,703 | ||||||
273 | STAAR Surgical Co.* | 28,777 | ||||||
999 | Zynex, Inc.*(1) | 15,255 | ||||||
|
| |||||||
966,531 | ||||||||
|
| |||||||
Household & Personal Products - 1.3% | ||||||||
450 | Central Garden & Pet Co. Class A* | 23,350 | ||||||
731 | Nu Skin Enterprises, Inc. Class A | 38,663 | ||||||
593 | USANA Health Sciences, Inc.* | 57,877 | ||||||
|
| |||||||
119,890 | ||||||||
|
| |||||||
Insurance - 4.6% | ||||||||
135 | American Equity Investment Life Holding Co. | 4,257 | ||||||
497 | American National Group, Inc. | 53,611 | ||||||
426 | AMERISAFE, Inc. | 27,264 | ||||||
2,677 | CNO Financial Group, Inc. | 65,024 | ||||||
733 | Employers Holdings, Inc. | 31,563 | ||||||
517 | FBL Financial Group, Inc. Class A | 28,911 | ||||||
476 | HCI Group, Inc. | 36,566 | ||||||
882 | Horace Mann Educators Corp. | 38,111 | ||||||
1,184 | Mercury General Corp. | 71,999 | ||||||
466 | Safety Insurance Group, Inc. | 39,261 | ||||||
706 | Stewart Information Services Corp. | 36,733 | ||||||
|
| |||||||
433,300 | ||||||||
|
| |||||||
Materials - 4.2% | ||||||||
1,334 | Commercial Metals Co. | 41,141 | ||||||
479 | Domtar Corp. | 17,699 | ||||||
1,591 | FutureFuel Corp. | 23,117 | ||||||
904 | Greif, Inc. Class A | 51,528 | ||||||
116 | Hawkins, Inc. | 3,888 | ||||||
185 | Kaiser Aluminum Corp. | 20,443 | ||||||
690 | Kronos Worldwide, Inc. | 10,557 | ||||||
254 | Mesabi Trust | 7,640 | ||||||
496 | Myers Industries, Inc. | 9,801 | ||||||
854 | Ryerson Holding Corp.* | 14,552 | ||||||
1,214 | Schnitzer Steel Industries, Inc. Class A | 50,733 | ||||||
982 | Schweitzer-Mauduit International, Inc. | 48,089 | ||||||
698 | Silgan Holdings, Inc. | 29,337 | ||||||
131 | Stepan Co. | 16,651 | ||||||
903 | Tredegar Corp. | 13,554 | ||||||
553 | Worthington Industries, Inc. | 37,101 | ||||||
|
| |||||||
395,831 | ||||||||
|
| |||||||
Media & Entertainment - 2.4% | ||||||||
1,182 | AMC Networks, Inc. Class A* | 62,835 | ||||||
3,563 | Angi, Inc. Class A* | 46,319 | ||||||
1,269 | John Wiley & Sons, Inc. Class A | 68,780 | ||||||
3,316 | MSG Networks, Inc. Class A* | 49,873 | ||||||
|
| |||||||
227,807 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 6.1% | ||||||||
1,807 | Amphastar Pharmaceuticals, Inc.* | 33,104 | ||||||
430 | Anika Therapeutics, Inc.* | 17,540 | ||||||
855 | BioDelivery Sciences International, Inc.* | 3,343 | ||||||
12,988 | Catalyst Pharmaceuticals, Inc.* | 59,875 | ||||||
2,608 | Coherus Biosciences, Inc.* | 38,103 | ||||||
472 | Collegium Pharmaceutical, Inc.* | 11,186 | ||||||
3,631 | Corcept Therapeutics, Inc.* | 86,381 | ||||||
257 | Eagle Pharmaceuticals, Inc.* | 10,727 | ||||||
3,549 | Ironwood Pharmaceuticals, Inc.* | 39,678 | ||||||
614 | Luminex Corp. | 19,587 |
The accompanying notes are an integral part of these financial statements.
| 30 |
|
Hartford Multifactor Small Cap ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 6.1% - (continued) | ||||||||
160 | Pacira BioSciences, Inc.* | $ | 11,214 | |||||
2,044 | Phibro Animal Health Corp. Class A | 49,874 | ||||||
679 | Prestige Consumer Healthcare, Inc.* | 29,930 | ||||||
4,197 | SIGA Technologies, Inc.* | 27,281 | ||||||
2,260 | Supernus Pharmaceuticals, Inc.* | 59,167 | ||||||
5,008 | Vanda Pharmaceuticals, Inc.* | 75,220 | ||||||
626 | Voyager Therapeutics, Inc.* | 2,948 | ||||||
|
| |||||||
575,158 | ||||||||
|
| |||||||
Real Estate - 6.4% | ||||||||
7,189 | Apartment Investment and Management Co. Class A, REIT | 44,140 | ||||||
3,623 | Bluerock Residential Growth REIT, Inc. | 36,628 | ||||||
1,989 | Brandywine Realty Trust REIT | 25,678 | ||||||
982 | Brookfield Property, Inc. Class A, REIT | 17,627 | ||||||
594 | Centerspace REIT | 40,392 | ||||||
582 | City Office, Inc. REIT | 6,181 | ||||||
314 | Corporate Office Properties Trust REIT | 8,268 | ||||||
1,009 | Easterly Government Properties, Inc. REIT | 20,917 | ||||||
3,237 | Equity Commonwealth REIT | 89,989 | ||||||
622 | eXp World Holdings, Inc.* | 28,332 | ||||||
1,911 | Farmland Partners, Inc. REIT | 21,422 | ||||||
1,496 | Forestar Group, Inc.* | 34,827 | ||||||
6,187 | Geo Group, Inc. REIT | 48,011 | ||||||
222 | Getty Realty Corp. REIT | 6,287 | ||||||
1,116 | Independence Realty Trust, Inc. REIT | 16,963 | ||||||
380 | Industrial Logistics Properties Trust REIT | 8,789 | ||||||
646 | iStar, Inc. REIT | 11,486 | ||||||
201 | Kennedy-Wilson Holdings, Inc. | 4,062 | ||||||
174 | LTC Properties, Inc. REIT | 7,259 | ||||||
926 | Marcus & Millichap, Inc. REIT* | 31,206 | ||||||
79 | NexPoint Residential Trust, Inc. REIT | 3,641 | ||||||
1,334 | Piedmont Office Realty Trust, Inc. Class A, REIT | 23,172 | ||||||
855 | RMR Group, Inc. REIT | 34,893 | ||||||
1,291 | RPT Realty REIT | 14,730 | ||||||
1,504 | Sunstone Hotel Investors, Inc. REIT | 18,740 | ||||||
|
| |||||||
603,640 | ||||||||
|
| |||||||
Retailing - 9.5% | ||||||||
1,697 | 1-800-Flowers.com, Inc. Class A* | 46,854 | ||||||
1,265 | Abercrombie & Fitch Co. Class A | 43,402 | ||||||
44 | America’s Car-Mart, Inc.* | 6,704 | ||||||
133 | American Eagle Outfitters, Inc. | 3,889 | ||||||
219 | Asbury Automotive Group, Inc.* | 43,033 | ||||||
517 | AutoNation, Inc.* | 48,195 | ||||||
884 | Big 5 Sporting Goods Corp. | 13,879 | ||||||
1,427 | Big Lots, Inc. | 97,464 | ||||||
1,671 | Buckle, Inc. | 65,637 | ||||||
194 | Citi Trends, Inc. | 16,253 | ||||||
345 | Core-Mark Holding Co., Inc. | 13,348 | ||||||
1,082 | Haverty Furniture Cos., Inc. | 40,240 | ||||||
1,345 | Hibbett Sports, Inc.* | 92,657 | ||||||
35 | Lumber Liquidators Holdings, Inc.* | 879 | ||||||
554 | MarineMax, Inc.* | 27,345 | ||||||
205 | Murphy USA, Inc. | 29,635 | ||||||
109 | Nordstrom, Inc. | 4,128 | ||||||
371 | ODP Corp. | 16,061 | ||||||
644 | PetMed Express, Inc. | 22,653 | ||||||
1,527 | Rent-A-Center, Inc. | 88,047 | ||||||
3,336 | Sally Beauty Holdings, Inc.* | 67,154 | ||||||
32 | Shutterstock, Inc. | 2,849 | ||||||
53 | Sleep Number Corp.* | 7,605 | ||||||
3,268 | Sportsman’s Warehouse Holdings, Inc.* | 56,340 | ||||||
17 | TravelCenters of America, Inc.* | 461 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Retailing - 9.5% - (continued) | ||||||||
77 | Urban Outfitters, Inc.* | $ | 2,864 | |||||
797 | Zumiez, Inc.* | 34,191 | ||||||
|
| |||||||
891,767 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 2.7% | ||||||||
2,741 | Amkor Technology, Inc. | 64,989 | ||||||
186 | Axcelis Technologies, Inc.* | 7,643 | ||||||
1,061 | Diodes, Inc.* | 84,710 | ||||||
977 | FormFactor, Inc.* | 44,072 | ||||||
1,017 | NeoPhotonics Corp.* | 12,153 | ||||||
3,143 | Photronics, Inc.* | 40,419 | ||||||
25 | Synaptics, Inc.* | 3,386 | ||||||
|
| |||||||
257,372 | ||||||||
|
| |||||||
Software & Services - 3.6% | ||||||||
181 | Appfolio, Inc. Class A* | 25,595 | ||||||
637 | Cardtronics plc Class A* | 24,716 | ||||||
1,041 | CSG Systems International, Inc. | 46,730 | ||||||
227 | Evertec, Inc. | 8,449 | ||||||
165 | ExlService Holdings, Inc.* | 14,876 | ||||||
264 | ManTech International Corp. Class A | 22,955 | ||||||
731 | NIC, Inc. | 24,803 | ||||||
2,016 | Sykes Enterprises, Inc.* | 88,865 | ||||||
1,317 | Teradata Corp.* | 50,757 | ||||||
299 | TTEC Holdings, Inc. | 30,035 | ||||||
|
| |||||||
337,781 | ||||||||
|
| |||||||
Technology Hardware & Equipment - 7.0% | ||||||||
605 | Aviat Networks, Inc.* | 42,979 | ||||||
603 | ePlus, Inc.* | 60,083 | ||||||
665 | Fabrinet* | 60,109 | ||||||
1,050 | Insight Enterprises, Inc.* | 100,191 | ||||||
135 | Kimball Electronics, Inc.* | 3,483 | ||||||
918 | Methode Electronics, Inc. | 38,538 | ||||||
783 | NETGEAR, Inc.* | 32,181 | ||||||
281 | OSI Systems, Inc.* | 27,004 | ||||||
371 | PC Connection, Inc. | 17,211 | ||||||
641 | Plexus Corp.* | 58,870 | ||||||
1,305 | Sanmina Corp.* | 54,001 | ||||||
1,189 | Super Micro Computer, Inc.* | 46,442 | ||||||
61 | SYNNEX Corp. | 7,005 | ||||||
1,354 | Vishay Intertechnology, Inc. | 32,604 | ||||||
824 | Vishay Precision Group, Inc.* | 25,388 | ||||||
2,060 | Xerox Holdings Corp. | 49,996 | ||||||
|
| |||||||
656,085 | ||||||||
|
| |||||||
Telecommunication Services - 1.9% | ||||||||
1,598 | Consolidated Communications Holdings, Inc.* | 11,506 | ||||||
3,423 | IDT Corp. Class B* | 77,565 | ||||||
805 | Telephone & Data Systems, Inc. | 18,483 | ||||||
2,001 | United States Cellular Corp.* | 72,996 | ||||||
|
| |||||||
180,550 | ||||||||
|
| |||||||
Transportation - 1.9% | ||||||||
200 | Air Transport Services Group, Inc.* | 5,852 | ||||||
573 | Hub Group, Inc. Class A* | 38,551 | ||||||
664 | Marten Transport Ltd. | 11,268 | ||||||
2,760 | Radiant Logistics, Inc.* | 19,182 | ||||||
173 | Ryder System, Inc. | 13,088 | ||||||
1,204 | Schneider National, Inc. Class B | 30,064 | ||||||
452 | Universal Logistics Holdings, Inc. | 11,892 | ||||||
1,075 | Werner Enterprises, Inc. | 50,708 | ||||||
|
| |||||||
180,605 | ||||||||
|
| |||||||
Utilities - 1.2% | ||||||||
147 | Avista Corp. | 7,019 | ||||||
35 | Chesapeake Utilities Corp. | 4,063 |
The accompanying notes are an integral part of these financial statements.
| 31 |
|
Hartford Multifactor Small Cap ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 98.8% - (continued) | ||||||||
Utilities - 1.2% - (continued) | ||||||||
495 | Clearway Energy, Inc. | $ | 13,929 | |||||
290 | Hawaiian Electric Industries, Inc. | 12,885 | ||||||
57 | MGE Energy, Inc. | 4,069 | ||||||
62 | Northwest Natural Holding Co. | 3,345 | ||||||
240 | Otter Tail Corp. | 11,081 | ||||||
96 | Portland General Electric Co. | 4,557 | ||||||
100 | Southwest Gas Holdings, Inc. | 6,871 | ||||||
2,807 | Spark Energy, Inc. Class A | 29,979 | ||||||
397 | Unitil Corp. | 18,139 | ||||||
|
| |||||||
115,937 | ||||||||
|
| |||||||
Total Common Stocks | $ | 9,310,727 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||
Securities Lending Collateral - 0.7% | ||||||||
5,467 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(2) | 5,467 | ||||||
60,617 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.04%(2) | 60,617 | ||||||
|
| |||||||
66,084 | ||||||||
|
| |||||||
U.S. Treasury Securities - 0.2% | ||||||||
U.S. Treasury Bills - 0.2% | ||||||||
20,000 | 0.02%, 06/24/2021(3)(4) | 20,000 | ||||||
|
| |||||||
Total Short-Term Investments | $ | 86,084 | ||||||
|
|
Total Investments | 99.7 | % | $ | 9,396,811 | ||||||||
Other Assets and Liabilities | 0.3 | % | 25,833 | |||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 9,422,644 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
(3) | The rate shown represents current yield to maturity. |
(4) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2021, the market value of securities pledged was $20,000. |
Futures Contracts Outstanding at March 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
E-Mini Russell 2000 | 1 | 06/18/2021 | $ | 111,125 | $ | (6,332 | ) | |||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | (6,332 | ) | ||||||||||||
|
|
† | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial statements.
| 32 |
|
Hartford Multifactor Small Cap ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Automobiles & Components | $ | 3,825 | $ | 3,825 | $ | — | $ | — | ||||||||
Banks | 703,856 | 703,856 | — | — | ||||||||||||
Capital Goods | 708,684 | 708,684 | — | — | ||||||||||||
Commercial & Professional Services | 346,697 | 346,697 | — | — | ||||||||||||
Consumer Durables & Apparel | 335,246 | 335,246 | — | — | ||||||||||||
Consumer Services | 135,524 | 135,524 | — | — | ||||||||||||
Diversified Financials | 371,070 | 371,070 | — | — | ||||||||||||
Energy | 342,281 | 342,281 | — | — | ||||||||||||
Food & Staples Retailing | 259,605 | 259,605 | — | — | ||||||||||||
Food, Beverage & Tobacco | 161,685 | 161,685 | — | — | ||||||||||||
Health Care Equipment & Services | 966,531 | 966,531 | — | — | ||||||||||||
Household & Personal Products | 119,890 | 119,890 | — | — | ||||||||||||
Insurance | 433,300 | 433,300 | — | — | ||||||||||||
Materials | 395,831 | 395,831 | — | — | ||||||||||||
Media & Entertainment | 227,807 | 227,807 | — | — | ||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 575,158 | 575,158 | — | — | ||||||||||||
Real Estate | 603,640 | 603,640 | — | — | ||||||||||||
Retailing | 891,767 | 891,767 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 257,372 | 257,372 | — | — | ||||||||||||
Software & Services | 337,781 | 337,781 | — | — | ||||||||||||
Technology Hardware & Equipment | 656,085 | 656,085 | — | — | ||||||||||||
Telecommunication Services | 180,550 | 180,550 | — | — | ||||||||||||
Transportation | 180,605 | 180,605 | — | — | ||||||||||||
Utilities | 115,937 | 115,937 | — | — | ||||||||||||
Short-Term Investments | 86,084 | 66,084 | 20,000 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,396,811 | $ | 9,376,811 | $ | 20,000 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Futures Contracts(2) | $ | (6,332 | ) | $ | (6,332 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (6,332 | ) | $ | (6,332 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended March 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 33 |
|
Hartford Multifactor US Equity ETF |
Schedule of Investments
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% | ||||||||
Automobiles & Components - 0.7% | ||||||||
557 | Autoliv, Inc. | $ | 51,690 | |||||
15,362 | General Motors Co. | 882,700 | ||||||
18,328 | Gentex Corp. | 653,760 | ||||||
820 | Tesla, Inc.* | 547,702 | ||||||
|
| |||||||
2,135,852 | ||||||||
|
| |||||||
Banks - 2.4% | ||||||||
59,958 | Bank of America Corp. | 2,319,775 | ||||||
6,773 | Bank OZK | 276,677 | ||||||
2,997 | East West Bancorp, Inc. | 221,179 | ||||||
16,523 | JP Morgan Chase & Co. | 2,515,296 | ||||||
1,237 | M&T Bank Corp. | 187,541 | ||||||
23,984 | People’s United Financial, Inc. | 429,314 | ||||||
3,052 | PNC Financial Services Group, Inc. | 535,351 | ||||||
2,620 | Prosperity Bancshares, Inc. | 196,212 | ||||||
1,183 | SVB Financial Group* | 584,000 | ||||||
3,422 | U.S. Bancorp | 189,271 | ||||||
13,056 | Valley National Bancorp | 179,389 | ||||||
5,373 | Zions Bancorp NA | 295,300 | ||||||
|
| |||||||
7,929,305 | ||||||||
|
| |||||||
Capital Goods - 4.5% | ||||||||
5,150 | 3M Co. | 992,302 | ||||||
13,005 | A.O. Smith Corp. | 879,268 | ||||||
2,360 | Advanced Drainage Systems, Inc. | 244,000 | ||||||
1,692 | AGCO Corp. | 243,056 | ||||||
1,397 | Carlisle Cos., Inc. | 229,918 | ||||||
2,064 | Caterpillar, Inc. | 478,580 | ||||||
4,502 | Cummins, Inc. | 1,166,513 | ||||||
1,218 | Deere & Co. | 455,702 | ||||||
2,677 | Eaton Corp. plc | 370,175 | ||||||
2,555 | Emerson Electric Co. | 230,512 | ||||||
17,897 | Fastenal Co. | 899,861 | ||||||
2,013 | Generac Holdings, Inc.* | 659,157 | ||||||
10,881 | Graco, Inc. | 779,297 | ||||||
1,857 | Honeywell International, Inc. | 403,099 | ||||||
1,304 | Johnson Controls International plc | 77,810 | ||||||
3,537 | Lincoln Electric Holdings, Inc. | 434,839 | ||||||
11,399 | Quanta Services, Inc. | 1,002,884 | ||||||
976 | Regal-Beloit Corp. | 139,256 | ||||||
2,642 | Snap-on, Inc. | 609,615 | ||||||
516 | Timken Co. | 41,884 | ||||||
9,166 | Toro Co. | 945,381 | ||||||
2,905 | Trane Technologies plc | 480,952 | ||||||
2,324 | Valmont Industries, Inc. | 552,345 | ||||||
3,417 | Watsco, Inc. | 890,983 | ||||||
3,240 | WW Grainger, Inc. | 1,299,013 | ||||||
1,298 | Xylem, Inc. | 136,524 | ||||||
|
| |||||||
14,642,926 | ||||||||
|
| |||||||
Commercial & Professional Services - 1.2% | ||||||||
18,984 | Booz Allen Hamilton Holding Corp. | 1,528,782 | ||||||
5,151 | Jacobs Engineering Group, Inc. | 665,870 | ||||||
1,829 | ManpowerGroup, Inc. | 180,888 | ||||||
1,697 | Republic Services, Inc. | 168,597 | ||||||
4,543 | Robert Half International, Inc. | 354,672 | ||||||
20,400 | Rollins, Inc. | 702,168 | ||||||
176 | Verisk Analytics, Inc. | 31,097 | ||||||
1,594 | Waste Management, Inc. | 205,658 | ||||||
|
| |||||||
3,837,732 | ||||||||
|
| |||||||
Consumer Durables & Apparel - 2.1% | ||||||||
1,223 | Deckers Outdoor Corp.* | 404,104 | ||||||
9,875 | Garmin Ltd. | 1,302,019 | ||||||
2,658 | Helen of Troy Ltd.* | 559,934 | ||||||
19,547 | Mattel, Inc.* | 389,376 | ||||||
1,190 | Mohawk Industries, Inc.* | 228,849 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Consumer Durables & Apparel - 2.1% - (continued) | ||||||||
23,698 | NIKE, Inc. Class B | $ | 3,149,227 | |||||
212 | VF Corp. | 16,943 | ||||||
2,866 | Whirlpool Corp. | 631,523 | ||||||
|
| |||||||
6,681,975 | ||||||||
|
| |||||||
Consumer Services - 0.8% | ||||||||
4,528 | Domino’s Pizza, Inc. | 1,665,353 | ||||||
4,192 | Starbucks Corp. | 458,060 | ||||||
930 | Vail Resorts, Inc. | 271,244 | ||||||
2,062 | Yum! Brands, Inc. | 223,067 | ||||||
|
| |||||||
2,617,724 | ||||||||
|
| |||||||
Diversified Financials - 3.0% | ||||||||
336 | Ameriprise Financial, Inc. | 78,103 | ||||||
13,238 | Berkshire Hathaway, Inc. Class B* | 3,381,912 | ||||||
340 | BlackRock, Inc. | 256,346 | ||||||
11,559 | Charles Schwab Corp. | 753,416 | ||||||
2,330 | Evercore, Inc. Class A | 306,954 | ||||||
27,012 | Franklin Resources, Inc. | 799,555 | ||||||
342 | Intercontinental Exchange, Inc. | 38,194 | ||||||
43,503 | Invesco Ltd. | 1,097,146 | ||||||
30,318 | Jefferies Financial Group, Inc. | 912,572 | ||||||
2,936 | Morgan Stanley | 228,010 | ||||||
6,662 | Raymond James Financial, Inc. | 816,495 | ||||||
50,043 | SLM Corp. | 899,273 | ||||||
2,230 | Synchrony Financial | 90,672 | ||||||
|
| |||||||
9,658,648 | ||||||||
|
| |||||||
Energy - 1.2% | ||||||||
79,768 | Cabot Oil & Gas Corp. | 1,498,043 | ||||||
7,866 | Cheniere Energy, Inc.* | 566,431 | ||||||
33,254 | Exxon Mobil Corp. | 1,856,571 | ||||||
|
| |||||||
3,921,045 | ||||||||
|
| |||||||
Food & Staples Retailing - 2.5% | ||||||||
2,551 | Casey’s General Stores, Inc. | 551,501 | ||||||
2,975 | Costco Wholesale Corp. | 1,048,628 | ||||||
71,071 | Kroger Co. | 2,557,845 | ||||||
30,251 | Walmart, Inc. | 4,108,993 | ||||||
|
| |||||||
8,266,967 | ||||||||
|
| |||||||
Food, Beverage & Tobacco - 3.4% | ||||||||
12,947 | Archer-Daniels-Midland Co. | 737,979 | ||||||
470 | Boston Beer Co., Inc. Class A* | 566,952 | ||||||
12,546 | Bunge Ltd. | 994,521 | ||||||
1,412 | Campbell Soup Co. | 70,981 | ||||||
25,457 | Coca-Cola Co. | 1,341,839 | ||||||
3,450 | Conagra Brands, Inc. | 129,720 | ||||||
4,075 | Darling Ingredients, Inc.* | 299,839 | ||||||
45,622 | Flowers Foods, Inc. | 1,085,804 | ||||||
15,007 | General Mills, Inc. | 920,229 | ||||||
615 | Hershey Co. | 97,268 | ||||||
12,382 | JM Smucker Co. | 1,566,694 | ||||||
5,128 | Kellogg Co. | 324,602 | ||||||
18,080 | PepsiCo., Inc. | 2,557,416 | ||||||
2,623 | Philip Morris International, Inc. | 232,765 | ||||||
|
| |||||||
10,926,609 | ||||||||
|
| |||||||
Health Care Equipment & Services - 6.5% | ||||||||
19,538 | Abbott Laboratories | 2,341,434 | ||||||
55 | Align Technology, Inc.* | 29,784 | ||||||
5,208 | Amedisys, Inc.* | 1,379,026 | ||||||
1,638 | Anthem, Inc. | 587,960 | ||||||
962 | Centene Corp.* | 61,481 | ||||||
7,063 | Cerner Corp. | 507,689 | ||||||
12,330 | CVS Health Corp. | 927,586 | ||||||
19,803 | DaVita, Inc.* | 2,134,169 | ||||||
9,520 | Globus Medical, Inc. Class A* | 587,098 |
The accompanying notes are an integral part of these financial statements.
| 34 |
|
Hartford Multifactor US Equity ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Health Care Equipment & Services - 6.5% - (continued) | ||||||||
770 | Haemonetics Corp.* | $ | 85,478 | |||||
8,635 | Henry Schein, Inc.* | 597,887 | ||||||
5,422 | Hologic, Inc.* | 403,288 | ||||||
1,395 | IDEXX Laboratories, Inc.* | 682,588 | ||||||
527 | Integra LifeSciences Holdings Corp.* | 36,410 | ||||||
119 | Laboratory Corp. of America Holdings* | 30,349 | ||||||
3,958 | LHC Group, Inc.* | 756,809 | ||||||
4,078 | Masimo Corp.* | 936,554 | ||||||
3,097 | McKesson Corp. | 604,039 | ||||||
9,244 | Molina Healthcare, Inc.* | 2,160,878 | ||||||
3,250 | Novocure Ltd.* | 429,585 | ||||||
3,899 | Omnicell, Inc.* | 506,363 | ||||||
9,506 | Premier, Inc. Class A | 321,778 | ||||||
6,375 | Quidel Corp.* | 815,554 | ||||||
1,283 | ResMed, Inc. | 248,928 | ||||||
2,015 | STERIS plc | 383,817 | ||||||
8,952 | Telefonica Celular del Paraguay S.A. | 543,834 | ||||||
8,040 | UnitedHealth Group, Inc. | 2,991,443 | ||||||
553 | West Pharmaceutical Services, Inc. | 155,824 | ||||||
|
| |||||||
21,247,633 | ||||||||
|
| |||||||
Household & Personal Products - 2.1% | ||||||||
7,627 | Clorox Co. | 1,471,096 | ||||||
11,569 | Colgate-Palmolive Co. | 911,984 | ||||||
3,510 | Kimberly-Clark Corp. | 488,066 | ||||||
21,550 | Procter & Gamble Co. | 2,918,516 | ||||||
3,562 | WD-40 Co. | 1,090,613 | ||||||
|
| |||||||
6,880,275 | ||||||||
|
| |||||||
Insurance - 3.2% | ||||||||
5,478 | Aflac, Inc. | 280,364 | ||||||
7,185 | Allstate Corp. | 825,557 | ||||||
2,732 | Arthur J Gallagher & Co. | 340,872 | ||||||
4,274 | Assurant, Inc. | 605,925 | ||||||
1,960 | Chubb Ltd. | 309,621 | ||||||
25,280 | CNA Financial Corp. | 1,128,246 | ||||||
2,405 | Erie Indemnity Co. Class A | 531,289 | ||||||
1,241 | Everest Re Group Ltd. | 307,532 | ||||||
3,670 | Kemper Corp. | 292,572 | ||||||
18,904 | MetLife, Inc. | 1,149,174 | ||||||
31,514 | Old Republic International Corp. | 688,266 | ||||||
6,622 | Principal Financial Group, Inc. | 397,055 | ||||||
24,497 | Progressive Corp. | 2,342,158 | ||||||
8,020 | Travelers Cos., Inc. | 1,206,208 | ||||||
|
| |||||||
10,404,839 | ||||||||
|
| |||||||
Materials - 4.2% | ||||||||
4,189 | AptarGroup, Inc. | 593,456 | ||||||
6,447 | Avery Dennison Corp. | 1,183,991 | ||||||
4,103 | Ball Corp. | 347,688 | ||||||
11,132 | Berry Plastics Group, Inc.* | 683,505 | ||||||
8,053 | Crown Holdings, Inc. | 781,463 | ||||||
13,191 | Graphic Packaging Holding Co. | 239,548 | ||||||
22,569 | International Paper Co. | 1,220,306 | ||||||
14,684 | Newmont Corp. | 885,005 | ||||||
6,957 | Nucor Corp. | 558,438 | ||||||
15,020 | Packaging Corp. of America | 2,019,890 | ||||||
3,225 | PPG Industries, Inc. | 484,588 | ||||||
4,741 | Reliance Steel & Aluminum Co. | 722,007 | ||||||
9,336 | RPM International, Inc. | 857,512 | ||||||
4,220 | Scotts Miracle-Gro Co. | 1,033,773 | ||||||
11,883 | Sealed Air Corp. | 544,479 | ||||||
269 | Sherwin-Williams Co. | 198,525 | ||||||
9,620 | Sonoco Products Co. | 608,946 | ||||||
12,617 | Steel Dynamics, Inc. | 640,439 | ||||||
|
| |||||||
13,603,559 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Media & Entertainment - 6.1% | ||||||||
9,333 | Activision Blizzard, Inc. | $ | 867,969 | |||||
1,346 | Alphabet, Inc. Class A* | 2,776,152 | ||||||
20,032 | Altice USA, Inc. Class A* | 651,641 | ||||||
55 | Cable One, Inc. | 100,560 | ||||||
1,053 | Charter Communications, Inc. Class A* | 649,722 | ||||||
52,684 | Comcast Corp. Class A | 2,850,731 | ||||||
18,145 | Discovery, Inc. Class A*(1) | 788,582 | ||||||
2,726 | Electronic Arts, Inc. | 369,019 | ||||||
10,839 | Facebook, Inc. Class A* | 3,192,411 | ||||||
20,016 | Interpublic Group of Cos., Inc. | 584,467 | ||||||
2,540 | Match Group, Inc.* | 348,945 | ||||||
2,673 | Netflix, Inc.* | 1,394,397 | ||||||
5,419 | New York Times Co. Class A | 274,310 | ||||||
22,999 | News Corp. Class A | 584,865 | ||||||
7,809 | Omnicom Group, Inc. | 579,037 | ||||||
4,809 | Snap, Inc. Class A* | 251,463 | ||||||
9,092 | Take-Two Interactive Software, Inc.* | 1,606,556 | ||||||
9,620 | Walt Disney Co.* | 1,775,082 | ||||||
|
| |||||||
19,645,909 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 9.0% | ||||||||
27,431 | AbbVie, Inc. | 2,968,583 | ||||||
419 | Agilent Technologies, Inc. | 53,272 | ||||||
8,174 | Alexion Pharmaceuticals, Inc.* | 1,249,886 | ||||||
3,213 | Amgen, Inc. | 799,427 | ||||||
1,661 | Bio-Rad Laboratories, Inc. Class A* | 948,713 | ||||||
15,223 | Blueprint Medicines Corp.* | 1,480,132 | ||||||
5,067 | Bristol-Myers Squibb Co. | 319,880 | ||||||
4,662 | China Biologic Products Holdings, Inc.*(1) | 552,027 | ||||||
15,558 | Eli Lilly & Co. | 2,906,546 | ||||||
7,816 | Gilead Sciences, Inc. | 505,148 | ||||||
9,241 | Horizon Therapeutics plc* | 850,542 | ||||||
10,817 | Jazz Pharmaceuticals plc* | 1,777,990 | ||||||
19,642 | Johnson & Johnson | 3,228,163 | ||||||
39,400 | Merck & Co., Inc. | 3,037,346 | ||||||
606 | Mettler-Toledo International, Inc.* | 700,348 | ||||||
50,947 | Pfizer, Inc. | 1,845,810 | ||||||
2,509 | Regeneron Pharmaceuticals, Inc.* | 1,187,108 | ||||||
805 | Seagen, Inc.* | 111,782 | ||||||
4,419 | Thermo Fisher Scientific, Inc. | 2,016,743 | ||||||
12,930 | United Therapeutics Corp.* | 2,162,801 | ||||||
1,216 | Waters Corp.* | 345,551 | ||||||
|
| |||||||
29,047,798 | ||||||||
|
| |||||||
Real Estate - 3.6% | ||||||||
3,850 | Alexandria Real Estate Equities, Inc. REIT | 632,555 | ||||||
7,493 | American Homes 4 Rent Class A, REIT | 249,817 | ||||||
15,616 | Americold Realty Trust REIT | 600,748 | ||||||
9,293 | CBRE Group, Inc. Class A* | 735,169 | ||||||
3,864 | Coresite Realty Corp. REIT | 463,100 | ||||||
2,974 | Crown Castle International Corp. REIT | 511,915 | ||||||
28,392 | CubeSmart REIT | 1,074,069 | ||||||
7,982 | Digital Realty Trust, Inc. REIT | 1,124,185 | ||||||
7,881 | Duke Realty Corp. REIT | 330,450 | ||||||
561 | Equinix, Inc. REIT | 381,250 | ||||||
9,719 | Extra Space Storage, Inc. REIT | 1,288,253 | ||||||
2,429 | Innovative Industrial Properties, Inc. REIT | 437,609 | ||||||
15,025 | Iron Mountain, Inc. REIT | 556,075 | ||||||
243 | Jones Lang LaSalle, Inc. REIT* | 43,507 | ||||||
14,023 | Life Storage, Inc. REIT | 1,205,277 | ||||||
7,797 | Medical Properties Trust, Inc. REIT | 165,920 | ||||||
7,602 | Public Storage REIT | 1,875,870 | ||||||
1,366 | STORE Capital Corp. REIT | 45,761 | ||||||
|
| |||||||
11,721,530 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 35 |
|
Hartford Multifactor US Equity ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Retailing - 7.7% | ||||||||
2,686 | Advance Auto Parts, Inc. | $ | 492,854 | |||||
821 | Amazon.com, Inc.* | 2,540,240 | ||||||
905 | AutoZone, Inc.* | 1,270,891 | ||||||
6,717 | Best Buy Co., Inc. | 771,179 | ||||||
11,373 | Dollar General Corp. | 2,304,397 | ||||||
17,758 | Dollar Tree, Inc.* | 2,032,581 | ||||||
19,607 | eBay, Inc. | 1,200,733 | ||||||
1,154 | Foot Locker, Inc. | 64,912 | ||||||
4,311 | Genuine Parts Co. | 498,308 | ||||||
9,496 | Home Depot, Inc. | 2,898,654 | ||||||
959 | Lithia Motors, Inc. Class A | 374,096 | ||||||
2,610 | Lowe’s Cos., Inc. | 496,370 | ||||||
1,640 | O’Reilly Automotive, Inc.* | 831,890 | ||||||
4,361 | Pool Corp. | 1,505,592 | ||||||
153,722 | Qurate Retail, Inc. | 1,807,771 | ||||||
3,690 | Stamps.com, Inc.* | 736,192 | ||||||
18,328 | Target Corp. | 3,630,227 | ||||||
2,411 | TJX Cos., Inc. | 159,488 | ||||||
7,830 | Tractor Supply Co. | 1,386,536 | ||||||
|
| |||||||
25,002,911 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 5.3% | ||||||||
2,607 | Applied Materials, Inc. | 348,295 | ||||||
5,079 | Broadcom, Inc. | 2,354,929 | ||||||
1,993 | Entegris, Inc. | 222,817 | ||||||
12,595 | First Solar, Inc.* | 1,099,544 | ||||||
31,415 | Intel Corp. | 2,010,560 | ||||||
2,139 | KLA Corp. | 706,726 | ||||||
8,452 | Lattice Semiconductor Corp.* | 380,509 | ||||||
9,438 | Maxim Integrated Products, Inc. | 862,350 | ||||||
3,502 | Micron Technology, Inc.* | 308,911 | ||||||
969 | Monolithic Power Systems, Inc. | 342,261 | ||||||
1,887 | NVIDIA Corp. | 1,007,526 | ||||||
6,812 | Power Integrations, Inc. | 555,042 | ||||||
3,763 | Qorvo, Inc.* | 687,500 | ||||||
23,544 | QUALCOMM, Inc. | 3,121,699 | ||||||
439 | SolarEdge Technologies, Inc.* | 126,186 | ||||||
4,986 | Teradyne, Inc. | 606,696 | ||||||
8,870 | Texas Instruments, Inc. | 1,676,341 | ||||||
7,421 | Xilinx, Inc. | 919,462 | ||||||
|
| |||||||
17,337,354 | ||||||||
|
| |||||||
Software & Services - 11.4% | ||||||||
4,691 | Accenture plc Class A | 1,295,889 | ||||||
5,007 | Adobe, Inc.* | 2,380,178 | ||||||
6,078 | Akamai Technologies, Inc.* | 619,348 | ||||||
14,810 | Alarm.com Holdings, Inc.* | 1,279,288 | ||||||
12,134 | Amdocs Ltd. | 851,200 | ||||||
1,841 | Aspen Technology, Inc.* | 265,712 | ||||||
4,494 | Automatic Data Processing, Inc. | 846,984 | ||||||
5,961 | Black Knight, Inc.* | 441,054 | ||||||
9,613 | Broadridge Financial Solutions, Inc. | 1,471,750 | ||||||
3,693 | CACI International, Inc. Class A* | 910,915 | ||||||
7,999 | Cadence Design Systems, Inc.* | 1,095,783 | ||||||
8,106 | Citrix Systems, Inc. | 1,137,758 | ||||||
15,940 | Cognizant Technology Solutions Corp. Class A | 1,245,233 | ||||||
1,411 | EPAM Systems, Inc.* | 559,730 | ||||||
3,640 | Five9, Inc.* | 569,041 | ||||||
6,088 | International Business Machines Corp. | 811,287 | ||||||
1,981 | Intuit, Inc. | 758,842 | ||||||
11,588 | j2 Global, Inc.* | 1,388,938 | ||||||
2,132 | Jack Henry & Associates, Inc. | 323,467 | ||||||
590 | Leidos Holdings, Inc. | 56,805 | ||||||
2,683 | Mastercard, Inc. Class A | 955,282 | ||||||
9,953 | MAXIMUS, Inc. | 886,215 | ||||||
11,272 | Microsoft Corp. | 2,657,599 |
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Software & Services - 11.4% - (continued) | ||||||||
1,655 | MicroStrategy, Inc. Class A* | $ | 1,123,414 | |||||
26,935 | Nortonlifelock, Inc. | 572,638 | ||||||
15,640 | Nuance Communications, Inc.* | 682,530 | ||||||
30,046 | Oracle Corp. | 2,108,328 | ||||||
305 | Palo Alto Networks, Inc.* | 98,228 | ||||||
13,396 | Paychex, Inc. | 1,313,076 | ||||||
7,113 | PayPal Holdings, Inc.* | 1,727,321 | ||||||
633 | RealPage, Inc.* | 55,198 | ||||||
251 | RingCentral, Inc. Class A* | 74,768 | ||||||
5,666 | salesforce.com, Inc.* | 1,200,455 | ||||||
786 | ServiceNow, Inc.* | 393,087 | ||||||
3,822 | Synopsys, Inc.* | 947,015 | ||||||
1,373 | Tyler Technologies, Inc.* | 582,880 | ||||||
4,768 | Verint Systems, Inc.* | 216,896 | ||||||
5,754 | Visa, Inc. Class A | 1,218,294 | ||||||
6,830 | VMware, Inc. Class A*(1) | 1,027,574 | ||||||
22,449 | Western Union Co. | 553,592 | ||||||
1,116 | Zendesk, Inc.* | 148,004 | ||||||
|
| |||||||
36,851,596 | ||||||||
|
| |||||||
Technology Hardware & Equipment - 8.1% | ||||||||
5,942 | Amphenol Corp. Class A | 391,994 | ||||||
25,022 | Apple, Inc. | 3,056,437 | ||||||
15,143 | Arrow Electronics, Inc.* | 1,678,147 | ||||||
602 | CDW Corp. | 99,782 | ||||||
16,865 | Ciena Corp.* | 922,853 | ||||||
56,196 | Cisco Systems, Inc. | 2,905,895 | ||||||
19,043 | Corning, Inc. | 828,561 | ||||||
16,553 | Dolby Laboratories, Inc. Class A | 1,634,112 | ||||||
6,025 | F5 Networks, Inc.* | 1,256,935 | ||||||
34,846 | Flex Ltd.* | 638,030 | ||||||
6,035 | Hewlett Packard Enterprise Co. | 94,991 | ||||||
81,043 | HP, Inc. | 2,573,115 | ||||||
21,670 | Juniper Networks, Inc. | 548,901 | ||||||
10,682 | Keysight Technologies, Inc.* | 1,531,799 | ||||||
3,371 | Motorola Solutions, Inc. | 633,917 | ||||||
10,257 | NCR Corp.* | 389,253 | ||||||
36,671 | NetApp, Inc. | 2,664,882 | ||||||
37,039 | Seagate Technology plc | 2,842,743 | ||||||
1,587 | Trimble, Inc.* | 123,453 | ||||||
2,130 | Ubiquiti, Inc. | 635,379 | ||||||
1,775 | Zebra Technologies Corp. Class A* | 861,194 | ||||||
|
| |||||||
26,312,373 | ||||||||
|
| |||||||
Telecommunication Services - 2.9% | ||||||||
91,264 | AT&T, Inc. | 2,762,561 | ||||||
3,277 | Lumen Technologies, Inc. | 43,748 | ||||||
18,384 | T-Mobile U.S., Inc.* | 2,303,332 | ||||||
74,600 | Verizon Communications, Inc. | 4,337,990 | ||||||
|
| |||||||
9,447,631 | ||||||||
|
| |||||||
Transportation - 2.7% | ||||||||
2,276 | AMERCO | 1,394,278 | ||||||
15,930 | CH Robinson Worldwide, Inc. | 1,520,200 | ||||||
10,389 | Expeditors International of Washington, Inc. | 1,118,791 | ||||||
3,758 | FedEx Corp. | 1,067,422 | ||||||
2,617 | J.B. Hunt Transport Services, Inc. | 439,839 | ||||||
6,363 | Landstar System, Inc. | 1,050,277 | ||||||
2,441 | Saia, Inc.* | 562,846 | ||||||
10,238 | United Parcel Service, Inc. Class B | 1,740,358 | ||||||
|
| |||||||
8,894,011 | ||||||||
|
| |||||||
Utilities - 5.0% | ||||||||
8,424 | Alliant Energy Corp. | 456,244 | ||||||
12,432 | Ameren Corp. | 1,011,468 | ||||||
4,294 | American Electric Power Co., Inc. | 363,702 | ||||||
3,038 | American Water Works Co., Inc. | 455,457 |
The accompanying notes are an integral part of these financial statements.
| 36 |
|
Hartford Multifactor US Equity ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Shares or Principal Amount | Market Value† | |||||||
COMMON STOCKS - 99.6% - (continued) | ||||||||
Utilities - 5.0% - (continued) | ||||||||
3,081 | Atmos Energy Corp. | $ | 304,557 | |||||
14,349 | Avangrid, Inc. | 714,724 | ||||||
12,952 | CMS Energy Corp. | 792,921 | ||||||
13,731 | Consolidated Edison, Inc. | 1,027,079 | ||||||
4,803 | Dominion Energy, Inc. | 364,836 | ||||||
2,310 | DTE Energy Co. | 307,553 | ||||||
9,864 | Duke Energy Corp. | 952,172 | ||||||
2,037 | Edison International | 119,368 | ||||||
3,688 | Eversource Energy | 319,344 | ||||||
21,258 | Exelon Corp. | 929,825 | ||||||
5,664 | IDACORP, Inc. | 566,230 | ||||||
9,705 | MDU Resources Group, Inc. | 306,775 | ||||||
31,355 | NextEra Energy, Inc. | 2,370,752 | ||||||
15,666 | NRG Energy, Inc. | 591,078 | ||||||
7,757 | Ormat Technologies, Inc. | 609,157 | ||||||
12,286 | PPL Corp. | 354,328 | ||||||
10,813 | Public Service Enterprise Group, Inc. | 651,051 | ||||||
15,124 | Southern Co. | 940,108 | ||||||
9,450 | WEC Energy Group, Inc. | 884,425 | ||||||
12,504 | Xcel Energy, Inc. | 831,641 | ||||||
|
| |||||||
16,224,795 | ||||||||
|
| |||||||
Total Common Stocks | $ | 323,240,997 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 0.6% | ||||||||
Securities Lending Collateral - 0.5% | ||||||||
139,558 | Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.01%(2) | 139,558 | ||||||
1,547,461 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.04%(2) | 1,547,461 | ||||||
|
| |||||||
1,687,019 | ||||||||
|
|
Shares or Principal Amount | Market Value† | |||||||
SHORT-TERM INVESTMENTS - 0.6% - (continued) | ||||||||
U.S. Treasury Securities - 0.1% | ||||||||
U.S. Treasury Bills - 0.1% | ||||||||
61,000 | 0.02%, 06/24/2021(3)(4) | $ | 60,998 | |||||
12,000 | 0.02%, 09/09/2021(3)(4) | 11,999 | ||||||
6,000 | 0.03%, 06/24/2021(3)(4) | 6,000 | ||||||
|
| |||||||
78,997 | ||||||||
|
| |||||||
Total Short-Term Investments | $ | 1,766,016 | ||||||
|
|
Total Investments | 100.2 | % | $ | 325,007,013 | ||||||||
Other Assets and Liabilities | (0.2 | )% | (547,649 | ) | ||||||||
|
|
|
| |||||||||
Total Net Assets | 100.0 | % | $ | 324,459,364 | ||||||||
|
|
|
|
Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
See “Glossary” for abbreviation descriptions. |
* | Non-income producing. |
(1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
(2) | Current yield as of period end. |
(3) | The rate shown represents current yield to maturity. |
(4) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2021, the market value of securities pledged was $78,997. |
Futures Contracts Outstanding at March 31, 2021 | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 (E-Mini) Future | 6 | 06/18/2021 | $ | 1,190,220 | $ | 10,899 | ||||||||||
|
| |||||||||||||||
Total futures contracts |
| $ | 10,899 | |||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
| 37 |
|
Hartford Multifactor US Equity ETF |
Schedule of Investments – (continued)
March 31, 2021 (Unaudited)
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of March 31, 2021 in valuing the Fund’s investments.
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||||||||||
Assets |
| |||||||||||||||
Common Stocks |
| |||||||||||||||
Automobiles & Components | $ | 2,135,852 | $ | 2,135,852 | $ | — | $ | — | ||||||||
Banks | 7,929,305 | 7,929,305 | — | — | ||||||||||||
Capital Goods | 14,642,926 | 14,642,926 | — | — | ||||||||||||
Commercial & Professional Services | 3,837,732 | 3,837,732 | — | — | ||||||||||||
Consumer Durables & Apparel | 6,681,975 | 6,681,975 | — | — | ||||||||||||
Consumer Services | 2,617,724 | 2,617,724 | — | — | ||||||||||||
Diversified Financials | 9,658,648 | 9,658,648 | — | — | ||||||||||||
Energy | 3,921,045 | 3,921,045 | — | — | ||||||||||||
Food & Staples Retailing | 8,266,967 | 8,266,967 | — | — | ||||||||||||
Food, Beverage & Tobacco | 10,926,609 | 10,926,609 | — | — | ||||||||||||
Health Care Equipment & Services | 21,247,633 | 21,247,633 | — | — | ||||||||||||
Household & Personal Products | 6,880,275 | 6,880,275 | — | — | ||||||||||||
Insurance | 10,404,839 | 10,404,839 | — | — | ||||||||||||
Materials | 13,603,559 | 13,603,559 | — | — | ||||||||||||
Media & Entertainment | 19,645,909 | 19,645,909 | — | — | ||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences | 29,047,798 | 29,047,798 | — | — | ||||||||||||
Real Estate | 11,721,530 | 11,721,530 | — | — | ||||||||||||
Retailing | 25,002,911 | 25,002,911 | — | — | ||||||||||||
Semiconductors & Semiconductor Equipment | 17,337,354 | 17,337,354 | — | — | ||||||||||||
Software & Services | 36,851,596 | 36,851,596 | — | — | ||||||||||||
Technology Hardware & Equipment | 26,312,373 | 26,312,373 | — | — | ||||||||||||
Telecommunication Services | 9,447,631 | 9,447,631 | — | — | ||||||||||||
Transportation | 8,894,011 | 8,894,011 | — | — | ||||||||||||
Utilities | 16,224,795 | 16,224,795 | — | — | ||||||||||||
Short-Term Investments | 1,766,016 | 1,687,019 | 78,997 | — | ||||||||||||
Futures Contracts(2) | 10,899 | 10,899 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 325,017,912 | $ | 324,938,915 | $ | 78,997 | $ | — | ||||||||
|
|
|
|
|
|
|
|
(1) | For the six-month period ended March 31, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
| 38 |
|
Hartford Multifactor ETFs |
Glossary (abbreviations used in preceding Schedule of Investments)
Index Abbreviations: | ||
EAFE | Europe, Australasia and Far East | |
S&P | Standard & Poor’s | |
Other Abbreviations: | ||
ADR | American Depositary Receipt | |
Bhd | Berhad | |
GDR | Global Depositary Receipt | |
KGaA | Kommanditgesellschaft auf Aktien | |
MSCI | Morgan Stanley Capital International | |
NVDR | Non-Voting Depositary Receipt | |
PJSC | Private Joint Stock Company | |
PT | Perseroan Terbatas | |
REIT | Real Estate Investment Trust |
| 39 |
|
Hartford Multifactor ETFs |
Statements of Assets and Liabilities
March 31, 2021 (Unaudited)
Hartford Longevity Economy ETF | Hartford Multifactor Developed Markets (ex-US) ETF | Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | |||||||||||||||||||
Assets: |
| |||||||||||||||||||||||
Investments in securities, at market value(1) | $ | 2,472,812 | $ | 1,987,198,663 | $ | 5,529,350 | $ | 40,724,145 | $ | 9,396,811 | $ | 325,007,013 | ||||||||||||
Cash | 1,735 | 5,409,606 | 4,815 | 75,320 | 85,311 | 907,383 | ||||||||||||||||||
Cash collateral held for securities on loan | — | 2,261,334 | 1,014 | — | 3,478 | 88,790 | ||||||||||||||||||
Foreign currency | — | 192,643 | 1,934 | 11,145 | — | — | ||||||||||||||||||
Receivables: |
| |||||||||||||||||||||||
Investment securities sold | — | — | — | — | 22,592 | — | ||||||||||||||||||
Fund shares sold | — | — | — | — | — | 1,884,770 | ||||||||||||||||||
Dividends and interest | 1,176 | 8,551,378 | 28,942 | 171,313 | 4,995 | 279,456 | ||||||||||||||||||
Securities lending income | — | 22,811 | 20 | — | 107 | 140 | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | 1,921 | 3,381 | 5,925 | ||||||||||||||||||
Tax reclaims | — | 3,805,336 | 4,994 | 5,145 | 2,760 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,475,723 | 2,007,441,771 | 5,571,069 | 40,988,989 | 9,519,435 | 328,173,477 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: |
| |||||||||||||||||||||||
Obligation to return securities lending collateral | — | 45,226,687 | 20,286 | — | 69,562 | 1,775,809 | ||||||||||||||||||
Payables: |
| |||||||||||||||||||||||
Investment securities purchased | — | 447,405 | 1,133 | 41,210 | 24,259 | 1,887,582 | ||||||||||||||||||
Investment management fees | 446 | 479,842 | 1,357 | 15,264 | 2,970 | 50,722 | ||||||||||||||||||
Variation margin on futures contracts | — | 62,674 | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 446 | 46,216,608 | 22,776 | 56,474 | 96,791 | 3,714,113 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 2,475,277 | $ | 1,961,225,163 | $ | 5,548,293 | $ | 40,932,515 | $ | 9,422,644 | $ | 324,459,364 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Summary of Net Assets: |
| |||||||||||||||||||||||
Paid-in-capital | $ | 2,500,025 | $ | 1,994,082,017 | $ | 5,628,835 | $ | 51,542,192 | $ | 10,210,875 | $ | 297,061,839 | ||||||||||||
Distributable earnings (loss) | (24,748 | ) | (32,856,854 | ) | (80,542 | ) | (10,609,677 | ) | (788,231 | ) | 27,397,525 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 2,475,277 | $ | 1,961,225,163 | $ | 5,548,293 | $ | 40,932,515 | $ | 9,422,644 | $ | 324,459,364 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share | $ | 24.75 | $ | 29.72 | $ | 27.74 | $ | 24.08 | $ | 37.69 | $ | 37.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Shares issued and outstanding | 100,001 | 66,000,000 | 200,000 | 1,700,000 | 250,000 | 8,600,000 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Cost of investments | $ | 2,498,456 | $ | 1,763,723,262 | $ | 4,870,461 | $ | 35,726,579 | $ | 8,377,535 | $ | 287,718,244 | ||||||||||||
Cost of foreign currency | $ | — | $ | 192,622 | $ | 1,933 | $ | 11,072 | $ | — | $ | — | ||||||||||||
(1) Includes Investment in securities on loan, at market value | $ | — | $ | 29,615,224 | $ | 19,099 | $ | — | $ | 70,613 | $ | 1,728,619 |
The accompanying notes are an integral part of these financial statements.
| 40 |
|
Hartford Multifactor ETFs |
Statements of Operations
For the Six-Month Period Ended March 31, 2021 (Unaudited)
Hartford Longevity Economy ETF(1) | Hartford Multifactor Developed Markets (ex-US) ETF | Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | |||||||||||||||||||
Investment Income: |
| |||||||||||||||||||||||
Dividends | $ | 1,342 | $ | 26,560,082 | $ | 74,373 | $ | 470,599 | $ | 106,643 | $ | 2,722,658 | ||||||||||||
Interest | — | — | — | 36 | 49 | 409 | ||||||||||||||||||
Securities lending | — | 128,220 | 719 | 1,175 | 1,982 | 786 | ||||||||||||||||||
Less: Foreign tax withheld | — | (2,233,918 | ) | (8,962 | ) | (60,484 | ) | (52 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investment income, net | 1,342 | 24,454,384 | 66,130 | 411,326 | 108,622 | 2,723,853 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses: |
| |||||||||||||||||||||||
Investment management fees | 446 | 2,907,272 | 7,594 | 95,361 | 15,791 | 268,347 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 446 | 2,907,272 | 7,594 | 95,361 | 15,791 | 268,347 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Investment Income (Loss) | 896 | 21,547,112 | 58,536 | 315,965 | 92,831 | 2,455,506 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | ||||||||||||||||||||||||
Investments | — | 78,563,849 | (2) | 165,822 | 4,267,035 | (2) | 1,894,386 | (2) | 21,392,803 | (2) | ||||||||||||||
Futures contracts | — | 1,842,359 | — | 35,815 | 41,038 | 162,495 | ||||||||||||||||||
Other foreign currency transactions | — | 136,898 | (121 | ) | (3,132 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | — | 80,543,106 | 165,701 | 4,299,718 | 1,935,424 | 21,555,298 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | ||||||||||||||||||||||||
Investments | (25,644 | ) | 202,878,038 | 684,032 | 5,497,292 | 1,635,385 | 26,852,992 | |||||||||||||||||
Futures contracts | — | 308,172 | — | 3,581 | (4,948 | ) | 14,644 | |||||||||||||||||
Translation of other assets and liabilities in foreign currencies | — | (90,647 | ) | (403 | ) | (4,232 | ) | (33 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (25,644 | ) | 203,095,563 | 683,629 | 5,496,641 | 1,630,404 | 26,867,636 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (25,644 | ) | 283,638,669 | 849,330 | 9,796,359 | 3,565,828 | 48,422,934 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (24,748 | ) | $ | 305,185,781 | $ | 907,866 | $ | 10,112,324 | $ | 3,658,659 | $ | 50,878,440 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Commenced operations on March 16, 2021. |
(2) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 11 in Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
| 41 |
|
Hartford Multifactor ETFs |
Statements of Changes in Net Assets
Hartford Longevity Economy ETF | Hartford Multifactor Developed Markets (ex-US) ETF | |||||||||||
For the Period Ended March 31, 2021 (Unaudited)(1) | For the Six-Month Period Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | ||||||||||
Operations: |
| |||||||||||
Net investment income (loss) | $ | 896 | $ | 21,547,112 | $ | 60,351,769 | ||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | — | 80,543,106 | (197,721,076 | ) | ||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (25,644 | ) | 203,095,563 | (32,293,474 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (24,748 | ) | 305,185,781 | (169,662,781 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to Shareholders | — | (28,307,272 | ) | (66,697,468 | ) | |||||||
|
|
|
|
|
| |||||||
Fund Share Transactions: |
| |||||||||||
Sold | 2,500,025 | 25,654,826 | 475,004,269 | |||||||||
Redeemed | — | (342,455,756 | ) | (573,184,590 | ) | |||||||
Other Capital | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) from capital share transactions | 2,500,025 | (316,800,930 | ) | (98,180,321 | ) | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets | 2,475,277 | (39,922,421 | ) | (334,540,570 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Beginning of period | — | 2,001,147,584 | 2,335,688,154 | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 2,475,277 | $ | 1,961,225,163 | $ | 2,001,147,584 | ||||||
|
|
|
|
|
|
(1) | Commenced operations on March 16, 2021. |
The accompanying notes are an integral part of these financial statements.
| 42 |
|
Hartford Multifactor ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Multifactor Diversified International ETF | Hartford Multifactor Emerging Markets ETF | |||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six-Month Period Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 58,536 | $ | 151,165 | $ | 315,965 | $ | 1,536,632 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 165,701 | (281,036 | ) | 4,299,718 | (8,583,548 | ) | ||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 683,629 | (349,146 | ) | 5,496,641 | (1,062,247 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 907,866 | (479,017 | ) | 10,112,324 | (8,109,163 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (88,000 | ) | (163,843 | ) | (834,500 | ) | (2,328,245 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: |
| |||||||||||||||
Sold | — | 2,754,532 | — | 3,623,318 | ||||||||||||
Redeemed | — | (2,751,610 | ) | (11,443,163 | ) | (18,945,241 | ) | |||||||||
Other Capital | — | — | 11,522 | 22,366 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | — | 2,922 | (11,431,641 | ) | (15,299,557 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 819,866 | (639,938 | ) | (2,153,817 | ) | (25,736,965 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Beginning of period | 4,728,427 | 5,368,365 | 43,086,332 | 68,823,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,548,293 | $ | 4,728,427 | $ | 40,932,515 | $ | 43,086,332 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 43 |
|
Hartford Multifactor ETFs |
Statements of Changes in Net Assets – (continued)
Hartford Multifactor Small Cap ETF | Hartford Multifactor US Equity ETF | |||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | For the Six-Month Period Ended March 31, 2021 (Unaudited) | For the Year Ended September 30, 2020 | |||||||||||||
Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 92,831 | $ | 199,353 | $ | 2,455,506 | $ | 6,630,038 | ||||||||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 1,935,424 | (861,728 | ) | 21,555,298 | (11,372,316 | ) | ||||||||||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 1,630,404 | (390,314 | ) | 26,867,636 | (2,631,141 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,658,659 | (1,052,689 | ) | 50,878,440 | (7,373,419 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders | (94,400 | ) | (463,148 | ) | (3,050,509 | ) | (6,397,955 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fund Share Transactions: |
| |||||||||||||||
Sold | 5,043,092 | 3,000,116 | 124,895,530 | 70,914,373 | ||||||||||||
Redeemed | (6,907,604 | ) | (10,895,246 | ) | (93,624,933 | ) | (119,273,432 | ) | ||||||||
Other Capital | — | 936 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (1,864,512 | ) | (7,894,194 | ) | 31,270,597 | (48,359,059 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 1,699,747 | (9,410,031 | ) | 79,098,528 | (62,130,433 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Beginning of period | 7,722,897 | 17,132,928 | 245,360,836 | 307,491,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,422,644 | $ | 7,722,897 | $ | 324,459,364 | $ | 245,360,836 | ||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
| 44 |
|
Hartford Multifactor ETFs |
Financial Highlights
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | |||||||||||||||||||||||||||||||||||||||
Hartford Longevity Economy ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Period Ended March 31, 2021 (Unaudited)(5) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 25.00 | $ | 0.01 | $ | (0.26 | ) | $ | (0.25 | ) | $ | — | $ | — | $ | — | $ | 24.75 | (1.00 | )%(6) | $ | 2,475 | 0.44 | %(7) | 0.44 | %(7) | 0.88 | %(7) | — | %(8) | ||||||||||||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 25.89 | $ | 0.30 | $ | 3.92 | $ | 4.22 | $ | — | $ | (0.39 | ) | $ | (0.39 | ) | $ | 29.72 | 16.39 | %(6) | $ | 1,961,225 | 0.29 | %(7) | 0.29 | %(7) | 2.15 | %(7) | 20 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 27.76 | $ | 0.68 | $ | (1.79 | ) | $ | (1.11 | ) | $ | — | $ | (0.76 | ) | $ | (0.76 | ) | $ | 25.89 | (4.04 | )% | $ | 2,001,148 | 0.29 | % | 0.29 | % | 2.60 | % | 57 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 28.97 | $ | 0.98 | $ | (1.51 | ) | $ | (0.53 | ) | $ | — | $ | (0.68 | ) | $ | (0.68 | ) | $ | 27.76 | (1.78 | )% | $ | 2,335,688 | 0.29 | % | 0.29 | % | 3.56 | % | 63 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2018 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 28.24 | $ | 0.91 | $ | 0.45 | (9) | $ | 1.36 | $ | 0.00 | (10) | $ | (0.63 | ) | $ | (0.63 | ) | $ | 28.97 | 4.85 | % | $ | 811,066 | 0.31 | % | 0.31 | % | 3.17 | % | 47 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2017 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 24.60 | $ | 0.82 | $ | 3.55 | $ | 4.37 | $ | — | $ | (0.73 | ) | $ | (0.73 | ) | $ | 28.24 | 18.18 | % | $ | 131,327 | 0.42 | % | 0.40 | % | 3.13 | % | 46 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2016 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 22.84 | $ | 0.70 | $ | 1.70 | $ | 2.40 | $ | — | $ | (0.64 | ) | $ | (0.64 | ) | $ | 24.60 | 10.62 | % | $ | 34,440 | 0.58 | % | 0.50 | % | 2.97 | % | 54 | % | ||||||||||||||||||||||||
Hartford Multifactor Diversified International ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 23.64 | $ | 0.29 | $ | 4.25 | $ | 4.54 | $ | — | $ | (0.44 | ) | $ | (0.44 | ) | $ | 27.74 | 19.32 | %(6) | $ | 5,548 | 0.29 | %(7) | 0.29 | %(7) | 2.24 | %(7) | 38 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 26.84 | $ | 0.75 | $ | (3.13 | ) | $ | (2.38 | ) | $ | — | $ | (0.82 | ) | $ | (0.82 | ) | $ | 23.64 | (9.03 | )% | $ | 4,728 | 0.29 | % | 0.29 | % | 3.06 | % | 156 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 27.35 | $ | 0.69 | $ | (0.51 | ) | $ | 0.18 | $ | — | $ | (0.69 | ) | $ | (0.69 | ) | $ | 26.84 | 0.81 | % | $ | 5,368 | 0.29 | % | 0.29 | % | 2.64 | % | 38 | % | |||||||||||||||||||||||
For the Year Ended September 30, 2018 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 26.58 | $ | 0.65 | $ | 0.71 | $ | 1.36 | $ | — | $ | (0.59 | ) | $ | (0.59 | ) | $ | 27.35 | 5.16 | % | $ | 5,470 | 0.33 | % | 0.33 | % | 2.37 | % | 35 | % | ||||||||||||||||||||||||
For the Period Ended September 30, 2017(11) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 25.02 | $ | 0.30 | $ | 1.40 | $ | 1.70 | $ | — | $ | (0.14 | ) | $ | (0.14 | ) | $ | 26.58 | 6.84 | %(6) | $ | 5,317 | 0.39 | %(7) | 0.39 | %(7) | 3.01 | %(7) | 48 | % | ||||||||||||||||||||||||
Hartford Multifactor Emerging Markets ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 19.58 | $ | 0.16 | $ | 4.75 | $ | 4.91 | $ | 0.01 | $ | (0.42 | ) | $ | (0.42 | ) | $ | 24.08 | 25.28 | %(6) | $ | 40,933 | 0.44 | %(7) | 0.44 | %(7) | 1.46 | %(7) | 41 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 22.20 | $ | 0.58 | $ | (2.37 | ) | $ | (1.79 | ) | $ | 0.01 | $ | (0.84 | ) | $ | (0.84 | ) | $ | 19.58 | (8.34 | )% | $ | 43,086 | 0.44 | % | 0.44 | % | 2.80 | % | 77 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 23.24 | $ | 0.66 | $ | (1.12 | ) | $ | (0.46 | ) | $ | 0.03 | $ | (0.61 | ) | $ | (0.61 | ) | $ | 22.20 | (1.90 | )% | $ | 68,823 | 0.49 | % | 0.49 | % | 2.89 | % | 78 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2018 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 24.34 | $ | 0.60 | $ | (1.24 | ) | $ | (0.64 | ) | $ | 0.01 | $ | (0.47 | ) | $ | (0.47 | ) | $ | 23.24 | (2.64 | )% | $ | 65,080 | 0.52 | % | 0.52 | % | 2.42 | % | 25 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2017 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 21.62 | $ | 0.49 | $ | 2.63 | $ | 3.12 | $ | — | $ | (0.40 | ) | $ | (0.40 | ) | $ | 24.34 | 14.63 | % | $ | 46,239 | 0.62 | % | 0.60 | % | 2.17 | % | 30 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2016 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 19.68 | $ | 0.45 | $ | 1.91 | $ | 2.36 | $ | — | $ | (0.42 | ) | $ | (0.42 | ) | $ | 21.62 | 12.20 | % | $ | 23,786 | 0.76 | % | 0.65 | % | 2.22 | % | 49 | % |
The accompanying notes are an integral part of these financial statements.
| 45 |
|
Hartford Multifactor ETFs |
Financial Highlights – (continued)
— Selected Per-Share Data(1) — | — Ratios and Supplemental Data — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Other Capital | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | Total Return(2) | Net Assets at End of Period (000s) | Ratio of Expenses to Average Net Assets Before Adjust- ments(3) | Ratio of Expenses to Average Net Assets After Adjust- ments | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover(4) | |||||||||||||||||||||||||||||||||||||||
Hartford Multifactor Small Cap ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 25.74 | $ | 0.32 | $ | 12.01 | $ | 12.33 | $ | — | $ | (0.38 | ) | $ | (0.38 | ) | $ | 37.69 | 48.10 | %(6) | $ | 9,423 | 0.34 | %(7) | 0.34 | %(7) | 2.00 | %(7) | 24 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 28.55 | $ | 0.41 | $ | (2.34 | ) | $ | (1.93 | ) | $ | 0.00 | (10) | $ | (0.88 | ) | $ | (0.88 | ) | $ | 25.74 | (7.05 | )% | $ | 7,723 | 0.35 | % | 0.35 | % | 1.52 | % | 158 | % | |||||||||||||||||||||
For the Year Ended September 30, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 31.78 | $ | 0.81 | $ | (3.23 | ) | $ | (2.42 | ) | $ | 0.00 | (10) | $ | (0.81 | ) | $ | (0.81 | ) | $ | 28.55 | (7.46 | )% | $ | 17,133 | 0.39 | % | 0.39 | % | 2.80 | % | 50 | % | |||||||||||||||||||||
For the Year Ended September 30, 2018 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 30.25 | $ | 0.72 | $ | 1.54 | $ | 2.26 | $ | 0.00 | (10) | $ | (0.73 | ) | $ | (0.73 | ) | $ | 31.78 | 7.52 | % | $ | 22,243 | 0.44 | % | 0.44 | % | 2.26 | % | 41 | % | |||||||||||||||||||||||
For the Year Ended September 30, 2017 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 25.46 | $ | 0.57 | $ | 4.79 | $ | 5.36 | $ | — | $ | (0.57 | ) | $ | (0.57 | ) | $ | 30.25 | 21.37 | % | $ | 18,148 | 0.60 | % | 0.56 | % | 2.08 | % | 48 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2016 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 22.69 | $ | 0.60 | $ | 2.76 | $ | 3.36 | $ | — | $ | (0.59 | ) | $ | (0.59 | ) | $ | 25.46 | 15.05 | % | $ | 10,185 | 0.83 | % | 0.60 | % | 2.54 | % | 62 | % | ||||||||||||||||||||||||
Hartford Multifactor US Equity ETF | ||||||||||||||||||||||||||||||||||||||||||||||||||||
For the Six-Month Period Ended March 31, 2021 (Unaudited) |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 31.76 | $ | 0.30 | $ | 6.07 | $ | 6.37 | $ | — | $ | (0.40 | ) | $ | (0.40 | ) | $ | 37.73 | 20.12 | %(6) | $ | 324,459 | 0.19 | %(7) | 0.19 | %(7) | 1.74 | %(7) | 36 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2020 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 32.20 | $ | 0.70 | $ | (0.45 | ) | $ | 0.25 | $ | — | $ | (0.69 | ) | $ | (0.69 | ) | $ | 31.76 | 0.92 | % | $ | 245,361 | 0.19 | % | 0.19 | % | 2.25 | % | 71 | % | |||||||||||||||||||||||
For the Year Ended September 30, 2019 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 33.01 | $ | 0.73 | $ | (0.89 | )(9) | $ | (0.16 | ) | $ | — | $ | (0.65 | ) | $ | (0.65 | ) | $ | 32.20 | (0.31 | )% | $ | 307,491 | 0.19 | % | 0.19 | % | 2.35 | % | 81 | % | ||||||||||||||||||||||
For the Year Ended September 30, 2018 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 28.77 | $ | 0.57 | $ | 4.15 | $ | 4.72 | $ | — | $ | (0.48 | ) | $ | (0.48 | ) | $ | 33.01 | 16.47 | % | $ | 173,304 | 0.21 | % | 0.21 | % | 1.80 | % | 36 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2017 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 24.44 | $ | 0.51 | $ | 4.30 | $ | 4.81 | $ | — | $ | (0.48 | ) | $ | (0.48 | ) | $ | 28.77 | 19.84 | % | $ | 34,524 | 0.34 | % | 0.31 | % | 1.92 | % | 36 | % | ||||||||||||||||||||||||
For the Year Ended September 30, 2016 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||
$ 22.90 | $ | 0.52 | $ | 1.53 | $ | 2.05 | $ | — | $ | (0.51 | ) | $ | (0.51 | ) | $ | 24.44 | 9.01 | % | $ | 28,111 | 0.44 | % | 0.35 | % | 2.22 | % | 51 | % |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day. |
(3) | Adjustments include waivers and reimbursements, if applicable. |
(4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(5) | Commenced operations on March 16, 2021. |
(6) | Not annualized. |
(7) | Annualized. |
(8) | Reflects the Fund’s portfolio turnover for the period March 16, 2021 through March 31, 2021. |
(9) | Per share amount was not in accord with the net realized and unrealized gain (loss) for the period because of the timing of transactions in shares of the Fund and the amount and timing of per-share net realized and unrealized gain (loss) on such shares. |
(10) | Per share amount is less than $0.005. |
(11) | Commenced operations on May 10, 2017. |
The accompanying notes are an integral part of these financial statements.
| 46 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements
March 31, 2021 (Unaudited)
1. | Organization: |
Lattice Strategies Trust (the “Trust”) is an open-end registered management investment company comprised of six series as of March 31, 2021. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report.
Lattice Strategies Trust:
Hartford Longevity Economy ETF (the “Longevity Economy ETF”)
Hartford Multifactor Developed Markets (ex-US) ETF (the “Multifactor Developed Markets (ex-US) ETF”)
Hartford Multifactor Diversified International ETF (the “Multifactor Diversified International ETF”)
Hartford Multifactor Emerging Markets ETF (the “Multifactor Emerging Markets ETF”)
Hartford Multifactor Small Cap ETF (the “Multifactor Small Cap ETF”)
Hartford Multifactor US Equity ETF (the “Multifactor US Equity ETF”)
Longevity Economy ETF commenced operations on March 16, 2021. Multifactor Diversified International ETF commenced operations on May 10, 2017. Multifactor Small Cap ETF commenced operations on March 23, 2015. Each of the other Funds commenced operations on February 25, 2015. Each Fund is an exchange-traded fund (‘‘ETF’’) that trades on an exchange like other publicly traded securities. Each Fund is designed to track an index. Shares of Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF are listed and traded on NYSE Arca, Inc. (“NYSE Arca”). Shares of Multifactor Diversified International ETF are listed and traded on Cboe BZX Exchange, Inc. (“Cboe BZX”). Each share of a Fund represents a partial ownership in the Fund’s assets and liabilities, including securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund in Creation Units at net asset value (“NAV”) only by certain large institutional investors (‘‘Authorized Participants’’) who have entered into agreements with ALPS Distributors, Inc. (‘‘ALPS’’ or the ‘‘Distributor’’), the Funds’ Distributor.
The assets of each Fund are separate and a shareholder’s interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on April 15, 2014 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The shares of the Funds are registered under the Securities Act of 1933, as amended (the ‘‘Securities Act’’). Each Fund is a diversified open-end management investment company. Each Fund applies specialized accounting and reporting standards under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
a) | Determination of Net Asset Value – The NAV of each Fund’s shares is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The net asset value for the shares of each Fund is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
b) | Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Trustees (the “Board”) of the Trust (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair
| 47 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.
Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund.
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost.
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange. If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the close of the relevant exchange. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the close of the relevant exchange. Over-the-counter derivatives and other instruments that do not trade on an exchange are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures.
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund.
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date.
Investments in open-end mutual funds, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses.
Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures established by the Trust’s Board of Trustees.
U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are:
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
The Board has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of such Fund’s sub-adviser, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board.
| 48 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.
For additional information, refer to the Fair Value Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. |
Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Non-cash dividends received in the form of stock are recorded as dividend income at market value. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable.
Please refer to Note 8 for Securities Lending information.
d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends from securities in which such Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to dividend or interest income or net realized gain on investments in these securities, if applicable. |
e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements.
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.
f) | Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of Multifactor Developed Markets (ex-US) ETF, Multifactor Diversified International ETF, Multifactor Emerging Markets ETF is to pay dividends from net investment income and realized gains, if any, semi-annually. The policy of Multifactor US Equity ETF and Multifactor Small Cap ETF is to pay dividends from net investment income, if any, quarterly. The policy of Longevity Economy ETF is to pay dividends from net investment income, if any, monthly. Amounts may vary significantly from period to period and realized gains, if any, are paid at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code. |
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing. (see Federal Income Taxes: Distributions and Components of Distributable Earnings and classification of Capital Accounts notes).
3. | Securities and Other Investments: |
Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments.
4. | Financial Derivative Instruments: |
The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized
| 49 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as of period-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations.
a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
During the six-month period ended March 31, 2021, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF had used Futures Contracts.
b) | Additional Derivative Instrument Information: |
Multifactor Developed Markets (ex-US) ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | — | $ | — | $ | — | $ | 37,596 | $ | — | $ | — | $ | 37,596 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 37,596 | $ | — | $ | — | $ | 37,596 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 1,842,359 | $ | — | $ | — | $ | 1,842,359 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 1,842,359 | $ | — | $ | — | $ | 1,842,359 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | — | $ | — | $ | — | $ | 308,172 | $ | — | $ | — | $ | 308,172 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 308,172 | $ | — | $ | — | $ | 308,172 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended March 31, 2021, the average monthly amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Long at Number of Contracts | 95 |
| 50 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
Multifactor Emerging Markets ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | — | $ | — | $ | — | $ | 1,687 | $ | — | $ | — | $ | 1,687 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 1,687 | $ | — | $ | — | $ | 1,687 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 35,815 | $ | — | $ | — | $ | 35,815 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 35,815 | $ | — | $ | — | $ | 35,815 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | — | $ | — | $ | — | $ | 3,581 | $ | — | $ | — | $ | 3,581 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 3,581 | $ | — | $ | — | $ | 3,581 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended March 31, 2021, the average monthly amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Long at Number of Contracts | 3 |
Multifactor Small Cap ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(1) | $ | — | $ | — | $ | — | $ | 6,332 | $ | — | $ | — | $ | 6,332 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 6,332 | $ | — | $ | — | $ | 6,332 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 41,038 | $ | — | $ | — | $ | 41,038 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 41,038 | $ | — | $ | — | $ | 41,038 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | — | $ | — | $ | — | $ | (4,948 | ) | $ | — | $ | — | $ | (4,948 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | (4,948 | ) | $ | — | $ | — | $ | (4,948 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 51 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
Multifactor Small Cap ETF – (continued)
For the period ended March 31, 2021, the average monthly amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Long at Number of Contracts | 1 |
Multifactor US Equity ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2021:
�� | Risk Exposure Category | |||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets: |
| |||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(1) | $ | — | $ | — | $ | — | $ | 10,899 | $ | — | $ | — | $ | 10,899 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 10,899 | $ | — | $ | — | $ | 10,899 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2021:
Risk Exposure Category | ||||||||||||||||||||||||||||
Interest Rate Contracts | Foreign Currency Contracts | Credit Contracts | Equity Contracts | Commodity Contracts | Other Contracts | Total | ||||||||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 162,495 | $ | — | $ | — | $ | 162,495 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 162,495 | $ | — | $ | — | $ | 162,495 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ | — | $ | — | $ | — | $ | 14,644 | $ | — | $ | — | $ | 14,644 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 14,644 | $ | — | $ | — | $ | 14,644 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended March 31, 2021, the average monthly amount or number per contract outstanding for each derivative type was as follows:
Derivative Description | Average Notional Par, Contracts or Face Amount | |||
Futures Contracts Long at Number of Contracts | 6 |
c) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund’s custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund’s custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
| 52 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
The following tables present a Fund’s derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement (“MNA”) and net of the related collateral received/pledged by a Fund as of March 31, 2021:
Multifactor Developed Markets (ex-US) ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (37,596 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (37,596 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 37,596 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | — | — | ||||||
|
|
|
|
Multifactor Emerging Markets ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (1,687 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (1,687 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 1,687 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | — | — | ||||||
|
|
|
|
Multifactor Small Cap ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | — | $ | (6,332 | ) | |||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (6,332 | ) | |||||
|
|
|
| |||||
Derivatives not subject to a MNA | — | 6,332 | ||||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | — | — | ||||||
|
|
|
|
Multifactor US Equity ETF
Derivative Financial Instruments: | Assets | Liabilities | ||||||
Futures contracts | $ | 10,899 | $ | — | ||||
|
|
|
| |||||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | 10,899 | — | ||||||
|
|
|
| |||||
Derivatives not subject to a MNA | (10,899 | ) | — | |||||
|
|
|
| |||||
Total gross amount of assets and liabilities subject to MNA or similar agreements | — | — | ||||||
|
|
|
|
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund’s prospectus provides details of its principal risks.
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments.
A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. The current ongoing outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of the ongoing COVID-19 pandemic remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic may have a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks.
| 53 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed markets.
A Fund’s focus on securities of issuers that reflect a specific theme or focus on a specific sector or industry may affect the Fund’s exposure to certain industries or types of investments. The Fund’s relative investment performance may also be affected depending on whether such themes, sectors, industries or investments are in or out of favor with the market. Certain investments may be dependent on U.S. and foreign government policies, including tax incentives and subsidies and developments affecting companies focused on longevity and aging solutions generally. In addition, under certain market conditions, a Fund may underperform funds that invest in a broader array of investments.
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings.
6. | Federal Income Taxes: |
a) | Each Fund intends to continue to qualify as a Regulated Investment Company (“RIC”) under Subchapter M of the Internal Revenue Code (“IRC”) by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2021. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
b) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at March 31, 2021 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which consists of gross unrealized appreciation and depreciation, is disclosed below: |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Longevity Economy ETF | $ | 2,498,456 | $ | 40,341 | $ | (65,985 | ) | $ | (25,644 | ) | ||||||
Multifactor Developed Markets (ex-US) ETF | 1,763,723,262 | 266,713,473 | (43,275,668 | ) | 223,437,805 | |||||||||||
Multifactor Diversified International ETF | 4,870,461 | 758,228 | (99,339 | ) | 658,889 | |||||||||||
Multifactor Emerging Markets ETF | 35,726,579 | 6,490,987 | (1,495,108 | ) | 4,995,879 | |||||||||||
Multifactor Small Cap ETF | 8,377,535 | 1,251,540 | (238,596 | ) | 1,012,944 | |||||||||||
Multifactor US Equity ETF | 287,718,244 | 39,584,767 | (2,285,099 | ) | 37,299,668 |
c) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
At September 30, 2020 (tax year end), each Fund’s capital loss carryforwards for U.S. federal income tax purposes were as follows:
Fund | Short-Term Capital Loss Carryforward with No Expiration | Long-Term Capital Loss Carryforward with No Expiration | ||||||
Multifactor Developed Markets (ex-US) ETF | $ | 239,593,905 | $ | 104,997,433 | ||||
Multifactor Diversified International ETF | 762,709 | 169,447 | ||||||
Multifactor Emerging Markets ETF | 10,953,628 | 8,415,035 | ||||||
Multifactor Small Cap ETF | 2,575,623 | 1,170,509 | ||||||
Multifactor US Equity ETF | 23,849,901 | 7,591,000 |
7. | Expenses: |
a) | Investment Advisory Agreement – Lattice Strategies LLC (the “Adviser” or “Lattice”) serves as each Fund’s investment adviser pursuant to an Investment Advisory Agreement with the Trust. Lattice is a wholly owned subsidiary of Hartford Funds Management Company, LLC (“HFMC”), which is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). Lattice has overall investment |
| 54 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
supervisory responsibility for each Fund. In addition, Lattice provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. Lattice has contracted with Mellon Investments Corporation (“Mellon”) under a sub-advisory agreement pursuant to which Mellon performs the daily investment of the assets of each Fund in accordance with each Fund’s investment objective and policies. Each Fund pays a fee to Lattice, a portion of which may be used to compensate Mellon. |
The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of March 31, 2021; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates:
Fund | Management Fee Rates | |||
Longevity Economy ETF | 0.44 | % | ||
Multifactor Developed Markets (ex-US) ETF | 0.29 | % | ||
Multifactor Diversified International ETF | 0.29 | % | ||
Multifactor Emerging Markets ETF | 0.44 | % | ||
Multifactor Small Cap ETF | 0.34 | % | ||
Multifactor US Equity ETF | 0.19 | % |
Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust, except for (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the advisory fee payable to the Adviser under the Investment Advisory Agreement. The payment or assumption by the Adviser of any expense of the Trust that the Adviser is not required by the Investment Advisory Agreement to pay or assume shall not obligate the Adviser to pay or assume the same or any similar expense of the Trust on any subsequent occasion.
b) | Distribution Plans – Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its Shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees increase the cost of your investment and they may cost you more than certain other types of asset-based charges. |
For the six-month period ended March 31, 2021, the Funds did not pay any Rule 12b-1 fees.
c) | Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the six-month period ended March 31, 2021, the Trust’s Chief Compliance Officer’s (“CCO”) compensation was paid by HFMC. As part of the Trust’s Chief Compliance Services Agreement, HFMC pays any CCO compensation on behalf of the Funds. |
8. | Securities Lending: |
The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; and cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned.
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund.
The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers.
| 55 |
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Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations.
The following table presents the market value of the Funds’ securities on loan, net of the amounts available for offset under the master netting arrangements and any related collateral received by the Funds as of March 31, 2021.
Fund | Investment Securities on Loan, at market value, Presented on the Statements of Assets and Liabilities(1) | Collateral Posted by Borrower(2) | Net Amount(3) | |||||||||
Longevity Economy ETF | $ | — | $ | — | $ | — | ||||||
Multifactor Developed Markets (ex-US) ETF | 29,615,224 | (29,615,224 | ) | — | ||||||||
Multifactor Diversified International ETF | 19,099 | (19,099 | ) | — | ||||||||
Multifactor Emerging Markets ETF | — | — | — | |||||||||
Multifactor Small Cap ETF | 70,613 | (70,613 | ) | — | ||||||||
Multifactor US Equity ETF | 1,728,619 | (1,728,619 | ) | — |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. |
(2) | Collateral received in excess of the market value of securities on loan is not presented in this table. |
(3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
The total cash and non-cash collateral received by each Fund in connection with securities lending transactions is presented below:
Fund | Cash Collateral | Non-Cash Collateral | ||||||
Longevity Economy ETF | $ | — | $ | — | ||||
Multifactor Developed Markets (ex-US) ETF | 45,226,687 | 31,306 | ||||||
Multifactor Diversified International ETF | 20,286 | — | ||||||
Multifactor Emerging Markets ETF | — | — | ||||||
Multifactor Small Cap ETF | 69,562 | — | ||||||
Multifactor US Equity ETF | 1,775,810 | — |
9. | Secured Borrowings: |
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2021.
Certain Transfers Accounted For As Secured Borrowings
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | <30 days | Between 30 & 90 days | >90 days | Total | ||||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | ||||||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Common Stocks | $ | 45,226,687 | $ | — | $ | — | $ | — | 45,226,687 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 45,226,687 | $ | — | $ | — | $ | — | $ | 45,226,687 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 45,226,687 | |||||||||||||||||
|
| |||||||||||||||||||
Hartford Multifactor Diversified International ETF | ||||||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Common Stocks | $ | 20,286 | $ | — | $ | — | $ | — | 20,286 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 20,286 | $ | — | $ | — | $ | — | $ | 20,286 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 20,286 | |||||||||||||||||
|
| |||||||||||||||||||
Hartford Multifactor Small Cap ETF | ||||||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Common Stocks | $ | 69,562 | $ | — | $ | — | $ | — | 69,562 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 69,562 | $ | — | $ | — | $ | — | $ | 69,562 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions | $ | 69,562 | ||||||||||||||||||
|
| |||||||||||||||||||
Hartford Multifactor US Equity ETF | ||||||||||||||||||||
Securities Lending Transactions(1) |
| |||||||||||||||||||
Common Stocks | $ | 1,775,810 | $ | — | $ | — | $ | — | 1,775,810 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 1,775,810 | $ | — | $ | — | $ | — | $ | 1,775,810 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | 1,775,810 | |||||||||||||||||
|
|
(1) | Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. |
| 56 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
10. | Custodian and Transfer Agent: |
State Street Bank and Trust Company (“State Street”) serves as Custodian for the Funds pursuant to a custodian agreement (“Custodian Agreement”) dated December 31, 2014, as amended from time to time. As Custodian, State Street holds each Fund’s assets, calculates the NAV of the shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency and service agreement (“Transfer Agency and Service Agreement”) dated February 13, 2018, as amended from time to time. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units.
For the services provided under the Custodian Agreement and Transfer Agency and Service Agreement, Lattice, and not the Funds, compensates State Street pursuant to the Funds’ unitary management fee structure.
11. | Investment Transactions: |
For the six-month period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:
Fund | Total Cost of Purchases | Total Sales Proceeds | ||||||
Longevity Economy ETF | $ | 2,498,456 | $ | — | ||||
Multifactor Developed Markets (ex-US) ETF | 396,835,372 | 407,357,356 | ||||||
Multifactor Diversified International ETF | 1,945,410 | 1,990,317 | ||||||
Multifactor Emerging Markets ETF | 17,314,905 | 22,733,884 | ||||||
Multifactor Small Cap ETF | 2,197,411 | 2,199,984 | ||||||
Multifactor US Equity ETF | 100,774,087 | 101,330,354 |
For the six-month period ended March 31, 2021, in-kind transactions, which are not included in the table above, associated with purchase or redemption of Creation Units were as follows:
Fund | Cost of Purchases | Sales Proceeds | Realized Gain/(Loss) | |||||||||
Multifactor Developed Markets (ex-US) ETF | $ | 24,461,136 | $ | 333,545,660 | $ | 53,010,769 | ||||||
Multifactor Emerging Markets ETF | — | 6,483,905 | 1,205,138 | |||||||||
Multifactor Small Cap ETF | 5,044,677 | 6,905,576 | 1,717,294 | |||||||||
Multifactor US Equity ETF | 122,783,923 | 91,600,270 | 22,337,456 |
12. | Share Transactions: |
Each Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units.” Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a Fund and redemption proceeds are paid with a basket of securities and/or cash from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of securities included in the relevant baskets for any reason at the Trust’s sole discretion. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units and is recorded as Other Capital on the Statements of Changes in Net Assets.
Purchase or redemption of Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a ‘‘Participating Party,’’ (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (‘‘Clearing Process’’), or (2) a participant of DTC (‘‘DTC Participant’’), and, in each case, must have executed an agreement (‘‘Participation Agreement’’) with the Distributor with respect to creations and redemptions of Creation Units.
If a Creation Unit is purchased or redeemed for cash or outside of the Clearing Process, a higher transaction fee may be charged. The following table discloses Creation Unit breakdown for each Fund:
Fund | Standard In-Kind Creation Fee | Value at March 31, 2021 | Standard In-Kind Redemption Fee | |||||||||
Longevity Economy ETF | $ | 750 | $ | 1,237,500 | $ | 750 | ||||||
Multifactor Developed Markets (ex-US) ETF | 3,000 | 1,486,000 | 3,000 | |||||||||
Multifactor Diversified International ETF | 2,000 | 2,774,000 | 2,000 | |||||||||
Multifactor Emerging Markets ETF | 1,750 | 2,408,000 | 1,750 | |||||||||
Multifactor Small Cap ETF | 1,000 | 1,884,500 | 1,000 | |||||||||
Multifactor US Equity ETF | 800 | 943,250 | 800 |
| 57 |
|
Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
Shares of Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF are listed on the NYSE Arca and shares of Multifactor Diversified International ETF are listed on the Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares.
Because each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Funds generally will issue or redeem Creation Units in return for a designated basket of securities and/or cash that the Fund specifies each business day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.
The following information is for the six-month period ended March 31, 2021, and the year ended September 30, 2020:
For the Six-Month Period Ended March 31, 2021 | For the Year Ended September 30, 2020 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Longevity Economy ETF(1) | ||||||||||||||||
Shares Sold | 100,001 | $ | 2,500,025 | |||||||||||||
|
|
|
| |||||||||||||
Net Increase (Decrease) | 100,001 | 2,500,025 | ||||||||||||||
|
|
|
| |||||||||||||
Multifactor Developed Markets (ex-US) ETF | ||||||||||||||||
Shares Sold | 950,000 | $ | 25,654,826 | 16,650,000 | $ | 475,004,269 | ||||||||||
Shares Redeemed | (12,250,000 | ) | (342,455,756 | ) | (23,500,000 | ) | (573,184,590 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (11,300,000 | ) | (316,800,930 | ) | (6,850,000 | ) | (98,180,321 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multifactor Diversified International ETF | ||||||||||||||||
Shares Sold | — | $ | — | 100,000 | $ | 2,754,532 | ||||||||||
Shares Redeemed | — | — | (100,000 | ) | (2,751,610 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | — | — | — | 2,922 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Multifactor Emerging Markets ETF | ||||||||||||||||
Shares Sold | — | $ | — | 200,000 | $ | 3,623,318 | ||||||||||
Shares Redeemed | (500,000 | ) | (11,443,163 | ) | (1,100,000 | ) | (18,945,241 | ) | ||||||||
Other Capital | — | 11,522 | — | 22,366 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (500,000 | ) | (11,431,641 | ) | (900,000 | ) | (15,299,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multifactor Small Cap ETF | ||||||||||||||||
Shares Sold | 150,000 | $ | 5,043,092 | 100,000 | $ | 3,000,116 | ||||||||||
Shares Redeemed | (200,000 | ) | (6,907,604 | ) | (400,000 | ) | (10,895,246 | ) | ||||||||
Other Capital | — | — | — | 936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | (50,000 | ) | (1,864,512 | ) | (300,000 | ) | (7,894,194 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multifactor US Equity ETF | ||||||||||||||||
Shares Sold | 3,475,000 | $ | 124,895,530 | 2,250,000 | $ | 70,914,373 | ||||||||||
Shares Redeemed | (2,600,000 | ) | (93,624,933 | ) | (4,075,000 | ) | (119,273,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) | 875,000 | 31,270,597 | (1,825,000 | ) | (48,359,059 | ) | ||||||||||
|
|
|
|
|
|
|
|
(1) | Commenced operations on March 16, 2021. |
13. | Affiliate Holdings: |
As of March 31, 2021, affiliates of The Hartford had ownership of shares in each Fund as follows:
Fund | Percentage of Fund | |||
Longevity Economy ETF | 94 | % | ||
Multifactor Diversified International ETF | 40 | % |
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Hartford Multifactor ETFs |
Notes to Financial Statements – (continued)
March 31, 2021 (Unaudited)
As of March 31, 2021, affiliated funds of funds in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of their shares as a result of purchase and sale activity from these affiliated funds of funds. Affiliated funds of funds owned shares in the Fund listed below as follows:
Fund | Percentage of Fund | |||
Multifactor Developed Markets (ex-US) ETF | 5 | % | ||
Multifactor Emerging Markets ETF | 13 | % | ||
Multifactor US Equity ETF | 29 | % |
14. | Indemnifications: |
Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
15. | Recent Accounting Pronouncement: |
In March 2020, FASB issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848); Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. The guidance is applicable to contracts referencing LIBOR or another reference rate that is expected to be discontinued due to reference rate reform. The ASU is effective as of March 12, 2020 and generally can be applied through December 31, 2022. Management is evaluating the underlying securities referencing LIBOR or another reference rate that is expected to be discontinued over the period of time the ASU is effective.
16. | Change in Independent Registered Public Accounting Firm: |
On November 6, 2019, the Trust, on behalf of each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF, dismissed Ernst & Young LLP (“EY”) as the Funds’ independent registered public accounting firm effective upon the issuance of EY’s report on the Funds’ financial statements as of and for the fiscal year ended September 30, 2019. EY’s report on the Funds’ financial statements for the fiscal periods ended September 30, 2018 and September 30, 2019 contained no adverse opinion or disclaimer of opinion nor was EY’s report qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds’ fiscal periods ended on September 30, 2018 and September 30, 2019 and through November 26, 2019 (the “Covered Period”), (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Funds’ financial statements for the Covered Period, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.
On November 6, 2019, the Audit Committee of the Trust’s Board of Trustees participated in and approved the decision to engage PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm for each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF for the fiscal year ended September 30, 2020. The selection of PwC does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Funds’ prior independent registered public accounting firm, EY. During the Covered Period, neither the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K).
17. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements.
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Hartford Multifactor ETFs |
HOW TO OBTAIN A COPY OF EACH FUND’S PROXY VOTING POLICIES AND VOTING RECORDS (UNAUDITED)
A description of the policies and procedures that each Fund uses to determine how to vote proxies relating to portfolio securities and information about how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30, are available (1) without charge, upon request, by calling 888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Each Fund’s Form N-PORT reports are available (1) without charge, upon request, by calling 888-843-7824, (2) on the Funds’ website, hartfordfunds.com, and (3) on the SEC’s website at http://www.sec.gov.
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Hartford Multifactor ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited)
Lattice Strategies Trust
Hartford Longevity Economy ETF
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), requires that each registered investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the investment company, as defined in the 1940 Act (the “Independent Trustees”), initially approve, and annually review and consider the continuation of, the investment company’s investment advisory and sub-advisory agreements. At its meeting held on February 10-11, 2021, the Board of Trustees (the “Board”) of Lattice Strategies Trust (the “Trust”), including each of the Independent Trustees, unanimously voted to approve for an initial two-year period (i) an investment advisory agreement by and between the Trust, on behalf of the Hartford Longevity Economy ETF (the “Fund”), and Lattice Strategies LLC (“Lattice Strategies”), a wholly owned subsidiary of Hartford Funds Management Company, LLC, and (ii) a separate investment sub-advisory agreement between Lattice Strategies and the Fund’s sub-adviser, Mellon Investments Corporation (the “Sub-adviser,” and together with Lattice Strategies, the “Advisers”) with respect to the Fund (collectively, the “Agreements”).
Prior to approving the Agreements, the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board and its Investment Committee considered the materials and presentations from representatives of the Advisers and an outside consultant of Hartford Funds Management Company, LLC received at meetings held on November 3-5, 2020 and February 10-11, 2021 regarding the Fund, its longevity economy thematic investment strategy and the research on which the Fund’s investment strategy is based. The Board also considered the materials and presentations by the Trust’s officers and representatives of Lattice Strategies received at the Board’s meeting on February 10-11, 2021 concerning the Agreements.
In determining whether to approve the Agreements for the Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board with respect to the approval of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements and, throughout the evaluation process, the Board was assisted by counsel for the Trust. The Independent Trustees were also separately assisted by independent legal counsel throughout the evaluation process. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the Agreements is provided below.
Nature, Extent and Quality of Services to be Provided by the Advisers
The Board requested and considered information concerning the nature, extent and quality of the services to be provided to the Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services to be provided by the Advisers. The Board considered each Adviser’s organizational structure, systems and personnel. The Board also considered each Adviser’s reputation and overall financial strength and the Board’s past experience with the Advisers with respect to the services they provide to other funds managed by Lattice Strategies and its affiliates (the “Hartford Funds”). The Board also considered that Lattice Strategies had experience advising other strategic beta exchange-traded funds (“ETFs”).
With respect to Lattice Strategies, the Board noted that, under the Agreements, Lattice Strategies would be responsible for the management of the Fund, including oversight of fund operations and service providers. The Board also noted that Lattice Strategies would provide administrative services to the Fund as well as investment advisory services in connection with selecting, monitoring and supervising the Fund’s sub-adviser, and that Lattice Strategies had recommended to the Board that the Sub-adviser be appointed as the sub-adviser to the Fund. In this regard, the Board evaluated information about the nature and extent of responsibilities retained and risks assumed by Lattice Strategies and its affiliates that were not delegated to, or assumed by, the Sub-adviser. The Board considered that Lattice Strategies is responsible for the creation, maintenance and ongoing monitoring of the Fund’s custom proprietary benchmark index. The Board noted Lattice Strategies’ explanation of the characteristics of the custom proprietary index that are expected to distinguish the Fund from other registered funds that employ thematic investment strategies in the marketplace. The Board also considered Lattice Strategies’ ongoing monitoring of people, process and performance and oversight of the portfolio managers to the Fund. The Board considered that Lattice Strategies would oversee the Sub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by the Sub-adviser and approach to risk management with respect to the Fund and the service providers to the Fund. The Board also considered that Lattice Strategies would oversee the Fund’s compliance with its investment objective and policies as well as with applicable laws and regulations. Moreover, the Board considered that Lattice Strategies would oversee potential conflicts of interest between the Fund’s investments and those of other funds or accounts managed by the Fund’s portfolio management personnel. In addition, the Board considered that Lattice Strategies or its affiliates would be responsible for providing the Fund’s officers. The Board also considered the secondary market support services to be provided by Lattice Strategies and its affiliates to the Fund, including Lattice Strategies’ and its affiliates’ expected efforts to educate investment professionals about the Fund and other ETFs managed by Lattice Strategies and its affiliates.
With respect to the Sub-adviser, which would provide certain day-to-day portfolio management services for the Fund, subject to oversight by Lattice Strategies, the Board considered, among other things, the Sub-adviser’s investment process, investment research capabilities and resources, performance record, trade execution capabilities and experience. The Board considered the quality and experience of the Fund’s proposed portfolio managers, the number of accounts managed by the portfolio managers, and Sub-adviser’s method for compensating the portfolio managers. The Board also considered the Sub-adviser’s succession planning practices to ensure continuity of portfolio management services to be provided to the Fund.
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Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
The Board also considered information previously provided by the Advisers regarding their compliance policies and procedures and compliance history, and received a representation from the Trust’s chief compliance officer that the written compliance policies and procedures of each of Lattice Strategies and the Sub-adviser are reasonably designed to prevent violations of the federal securities laws. In addition, the Board considered Lattice Strategies’ representation that it did not anticipate making any material changes to Lattice Strategies’ and the Hartford Funds’ compliance programs as a result of the addition of the Fund.
The Board considered efforts by Lattice Strategies and its affiliates to provide investors in the Hartford Funds family of funds with a broad range of investment opportunities and the assumption of entrepreneurial and other risks by Lattice Strategies and its affiliates in sponsoring and managing new funds to expand these opportunities for shareholders. The Board considered the special attributes of the Fund, which is an ETF, relative to mutual funds and the benefits that are expected to be realized from an investment in the Fund, rather than a mutual fund. The Board also considered the resources devoted by Lattice Strategies and its affiliates in developing and maintaining an infrastructure necessary to support the operations of the Fund.
In considering the foregoing information, the Board evaluated not only the information presented to the Board and the Investment Committee in connection with its consideration of the Agreements, but also the Board’s experience through past interactions with Lattice Strategies and the Sub-adviser.
Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services to be provided to the Fund by Lattice Strategies and the Sub-adviser.
Performance
The Board considered that the Fund seeks to provide investment results that correspond to the total return performance of the Hartford Longevity Economy Index (LHLGEX), the Fund’s proposed custom proprietary benchmark index, and the Board considered information regarding the characteristics, attributes, and methodologies of the Hartford Longevity Economy Index. The Board also received and considered simulated “back-tested” results for the Hartford Longevity Economy Index over various periods and noted the inherent limitations of such data. The Board also considered that neither Lattice Strategies nor the Sub-adviser managed other funds or accounts with investment strategies substantially similar to those proposed for the Fund. The Board considered the investment performance of the Sub-adviser and its portfolio management team, including, for purposes of considering the investment skill and experience of the Sub-adviser, the Sub-adviser’s capabilities in managing other series of the Trust, each of which is an ETF that tracks a custom proprietary benchmark index. The Board considered additional information provided by Lattice Strategies about the broad range of the portfolio management team’s investment experience and the team’s investment process.
Based on these considerations, the Board concluded that it was satisfied that Lattice Strategies and the Sub-adviser have the capability of providing satisfactory investment performance for the Fund.
Costs of the Services and Profitability of the Advisers
In considering the proposed advisory and sub-advisory fee schedules for the Fund, the Board reviewed information regarding Lattice Strategies’ estimated costs to provide investment management and related services to the Fund and the estimated profitability to Lattice Strategies and its affiliates from managing the Fund. The Board considered that Lattice Strategies would pay all expenses of the Fund, except for: (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) any distribution fees and expenses paid by the Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the advisory fees payable to Lattice Strategies. In evaluating the estimated profitability of the Fund to Lattice Strategies, the Board considered Lattice Strategies’ representation that the level of estimated profitability was fair and reasonable based on the nature and quality of the services to be provided to shareholders. The Board also noted that the actual profitability of the Fund to Lattice Strategies would depend on the growth of the Fund’s assets under management and that, at least initially, the Fund’s profitability was estimated to be negative. The Board considered representations from Lattice Strategies that the Sub-adviser’s fees were negotiated at arm’s length and that the sub-advisory fees would be paid by Lattice Strategies and not the Fund. Accordingly, the Board determined that the profitability of the Sub-adviser is a less relevant factor with respect to the Board’s consideration of the sub-advisory agreement with the Sub-adviser.
Based on these considerations, the Board concluded that the profits anticipated to be realized by the Advisers and their affiliates from their relationships with the Fund would not be excessive.
Comparison of Fees and Services to be Provided by the Advisers
The Board considered comparative information with respect to the management fees to be paid by the Fund to Lattice Strategies and the expected total expense ratio of the Fund. The Board also considered the proposed sub-advisory fees to be paid by Lattice Strategies to the Sub-adviser with respect to the Fund. In this regard, the Board requested and reviewed information from Lattice Strategies and the Sub-adviser relating to the proposed management and sub-advisory fees and expected total operating expenses for the Fund. The Board also reviewed information comparing the Fund’s
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Hartford Multifactor ETFs |
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
proposed management fees and expected total expenses relative to an appropriate group of funds (the “Peer Group”), selected from the relevant peer universe identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. As part of this review, the Board considered the composition of the Peer Group and the methodology used to select the Peer Group, which included input from an independent financial services consultant (the “Consultant”) engaged by the Independent Trustees to assist them in evaluating the Fund’s proposed management fees and estimated total expense ratio. The Board noted that the Peer Group is comprised of only other ETFs that employ thematic investment strategies. The Board considered the inherent limitations of such comparisons in light of uncertainty as to how the fees of other funds in the Peer Group are set and potentially material differences between the Fund and such other funds. In connection with these considerations, the Board took account of the fact that the Fund would pay a monthly management fee to Lattice Strategies in return for providing investment advisory and administrative services under an all-in “unitary” fee structure. The Board also considered competition in the general ETF marketplace in which the Fund would compete and the impact of market pressures on the price levels for ETFs such as the Fund.
In considering the reasonableness of the Fund’s proposed advisory and sub-advisory fees and projected total expense ratio, the Board considered that, according to the information provided by Broadridge, the Fund’s proposed contractual management fee and estimated total expense ratio were below the average and median of the Peer Group, and the Fund’s proposed actual management fee was slightly below the median and slightly above the average of the Peer Group. The Board considered such information in consultation with the Consultant.
Based on these considerations, the Board concluded that the Fund’s proposed fees and projected total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters considered, were reasonable in light of the services to be provided.
Economies of Scale
The Board considered information regarding the extent to which economies of scale may be realized as the Fund grows and whether the Fund’s corresponding fee levels reflect these economies of scale for the benefit of the Fund’s future shareholders. The Board also considered that any economies of scale achieved by the Fund would benefit Lattice Strategies due to the unitary fee structure of the Fund, but that the unitary fee would protect shareholders from a rise in operating costs and/or a decline in Fund assets and is a transparent means of informing the Fund’s shareholders of the fees associated with the Fund. The Board considered Lattice Strategies’ representation that the Fund could be expected to achieve some economies of scale as assets in the Fund grow. The Board considered that the Fund’s proposed management fee does not contain breakpoints. The Board recognized that there is no uniform methodology for establishing breakpoints or uniform pattern in asset levels that trigger breakpoints or the amounts of breakpoints triggered. In addition, the Board considered that Lattice Strategies initially set competitive fee rates intended to price the Fund to scale at inception, which is another means of sharing potential economies of scale with shareholders without waiting for asset growth.
The Board also considered how any benefits from economies of scale would be realized by the various parties. Based on these considerations, the Board concluded that it was satisfied with the extent to which economies of scale would be shared for the benefit of the Fund’s future shareholders. The Board considered estimates of the Fund’s projected asset levels and noted that it would review future growth in the Fund’s assets and the appropriateness of the Fund’s fee structure as part of its future annual review of the Agreements.
Other Benefits
The Board considered other anticipated benefits to the Advisers and their affiliates from their relationships with the Fund.
* * * *
Based upon its review of these various factors, among others, the Board concluded that it is in the best interests of the Fund for the Board to approve the Agreements. In reaching this conclusion, the Board did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves. In connection with their deliberations, the Independent Trustees met separately in executive session with independent legal counsel to review the relevant materials and consider their responsibilities under relevant laws and regulations.
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Hartford Multifactor ETFs |
Supplemental Proxy Information (Unaudited)
A joint special meeting of shareholders of the Funds was held on October 21, 2020 (the “Shareholder Meeting”). The Shareholder Meeting was held for the purpose of electing members of the Funds’ Board of Trustees. Shareholders elected the following ten (10) Trustees at the Shareholder Meeting:
• | Hilary E. Ackermann |
• | Robin C. Beery |
• | Lynn S. Birdsong |
• | Derrick D. Cephas |
• | James E. Davey |
• | Christine R. Detrick |
• | Andrew A. Johnson |
• | Paul L. Rosenberg |
• | Lemma W. Senbet |
• | David Sung |
The results of the shareholders’ election of Trustees were as follows:
Lattice Strategies Trust
Shares Outstanding (as of Record Date): 90,850,000.000 Total Shares Voted: 80,912,356.805 Percentage of Shares Voted: 89.061% | ||||||||
Trustee | Vote | Total Shares Voted | Percentage of Shares Voted | Percentage of Shares Outstanding | ||||
Hilary E. Ackermann | For: | 79,172,538.537 | 97.850% | 87.147% | ||||
Against: | 779,907.667 | 0.964% | 0.858% | |||||
Abstain: | 959,910.601 | 1.186% | 1.056% | |||||
Robin C. Beery | For: | 79,306,915.299 | 98.016% | 87.295% | ||||
Against: | 606,588.972 | 0.750% | 0.667% | |||||
Abstain: | 998,852.534 | 1.234% | 1.099% | |||||
Lynn S. Birdsong | For: | 78,276,371.044 | 96.743% | 86.160% | ||||
Against: | 1,631,084.588 | 2.016% | 1.795% | |||||
Abstain: | 1,004,901.173 | 1.241% | 1.106% | |||||
Derrick D. Cephas | For: | 79,153,387.548 | 97.827% | 87.126% | ||||
Against: | 715,146.513 | 0.883% | 0.787% | |||||
Abstain: | 1,043,822.744 | 1.290% | 1.148% | |||||
James E. Davey | For: | 79,349,576.612 | 98.069% | 87.342% | ||||
Against: | 645,658.460 | 0.798% | 0.710% | |||||
Abstain: | 917,121.733 | 1.133% | 1.009% | |||||
Christine R. Detrick | For: | 79,210,851.451 | 97.898% | 87.189% | ||||
Against: | 717,317.984 | 0.886% | 0.789% | |||||
Abstain: | 984,187.370 | 1.216% | 1.083% | |||||
Andrew A. Johnson | For: | 79,193,928.396 | 97.877% | 87.170% | ||||
Against: | 721,001.682 | 0.891% | 0.794% | |||||
Abstain: | 997,426.727 | 1.232% | 1.097% |
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Hartford Multifactor ETFs |
Supplemental Proxy Information (Unaudited) – (continued)
Trustee | Vote | Total Shares Voted | Percentage of Shares Voted | Percentage of Shares Outstanding | ||||
Paul L. Rosenberg | For: | 79,105,260.403 | 97.767% | 87.073% | ||||
Against: | 784,871.375 | 0.970% | 0.863% | |||||
Abstain: | 1,022,225.027 | 1.263% | 1.125% | |||||
Lemma W. Senbet | For: | 78,197,435.695 | 96.645% | 86.073% | ||||
Against: | 1,716,303.968 | 2.121% | 1.898% | |||||
Abstain: | 998,617.142 | 1.234% | 1.099% | |||||
David Sung | For: | 79,042,679.181 | 97.690% | 87.004% | ||||
Against: | 839,778.258 | 1.038% | 0.924% | |||||
Abstain: | 1,029,899.366 | 1.272% | 1.133% |
As of the date of the Shareholder Meeting, Mr. Duane E. Hill served as a Trustee and did not seek re-election. Mr. Hill continued to serve as a Trustee until his scheduled retirement on December 31, 2020.
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THIS PRIVACY POLICY IS NOT PART OF THIS REPORT
CUSTOMER PRIVACY NOTICE
The Hartford Financial Services Group, Inc. and Affiliates*
(herein called “we, our, and us”)
This Privacy Policy applies to our United States Operations
We value your trust. We are committed to the responsible:
a) management;
b) use; and
c) protection;
of Personal Information.
This notice describes how we collect, disclose, and protect Personal Information.
We collect Personal Information to:
a) service your Transactions with us; and
b) support our business functions.
We may obtain Personal Information from:
a) You;
b) your Transactions with us; and
c) third parties such as a consumer-reporting agency.
Based on the type of product or service You apply for or get from us, Personal Information such as:
a) your name;
b) your address;
c) your income;
d) your payment; or
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may be gathered from sources such as applications, Transactions, and consumer reports.
To serve You and service our business, we may share certain Personal Information. We will share Personal Information, only as allowed by law, with affiliates such as:
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As allowed by law, we may share Personal Financial Information with our affiliates to:
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We may also share Personal Information, only as allowed by law, with unaffiliated third parties including:
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When allowed by law, we may share certain Personal Financial Information with other unaffiliated third parties who assist us by performing services or functions such as:
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For more information, our Online Privacy Policy, which governs information we collect on our website and our affiliate websites, is available at https://www.thehartford.com/online-privacy-policy.
We will not sell or share your Personal Financial Information with anyone for purposes unrelated to our business functions without offering You the opportunity to:
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We are responsible for and must:
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Employees who violate our privacy policies and procedures may be subject to discipline, which may include termination of their employment with us.
We will continue to follow our Privacy Policy regarding Personal Information even when a business relationship no longer exists between us.
As used in this Privacy Notice:
Application means your request for our product or service.
Personal Financial Information means financial information such as:
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Personal Financial Information may include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.
Personal Health Information means health information such as:
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Personal Information means information that identifies You personally and is not otherwise available to the public. It includes:
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You means an individual who has given us Personal Information in conjunction with:
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If you have any questions or comments about this privacy notice, please feel free to contact us at The Hartford – Consumer Rights and Privacy Compliance Unit, One Hartford Plaza, Mail Drop: T 04.180, Hartford, CT 06155, or at ConsumerPrivacyInquiriesMailbox@thehartford.com.
This Customer Privacy Notice is being provided on behalf of The Hartford Financial Services Group, Inc. and its affiliates (including the following as of February 2021), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations:
1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; Assurances Continentales Continentale Verzekeringen N.V; Bracht, Deckers & Mackelbert N.V.; Business Management Group, Inc.; Canal Re S.A.; Cervus Claim Solutions, LLC; First State Insurance Company; FTC Resolution Company LLC; Hart Re Group L.L.C.; Hartford Accident and Indemnity Company; Hartford Administrative Services Company; Hartford Casualty General Agency, Inc.; Hartford Casualty Insurance Company; Hartford Fire General Agency, Inc.; Hartford Fire Insurance Company; Hartford Funds Distributors, LLC; Hartford Funds Management Company, LLC; Hartford Funds Management Group, Inc.; Hartford Holdings, Inc.; Hartford Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the Southeast; Hartford Insurance, Ltd.; Hartford Integrated Technologies, Inc.; Hartford Investment Management Company; Hartford Life and Accident Insurance Company; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford Management, Ltd.; Hartford Productivity Services LLC; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Specialty Insurance Services of Texas, LLC; Hartford STAG Ventures LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance Company; Heritage Holdings, Inc.; Heritage Reinsurance Company, Ltd.; HLA LLC; HL Investment Advisors, LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lattice Strategies LLC; Maxum Casualty Insurance Company; Maxum Indemnity Company; Maxum Specialty Services Corporation; Millennium Underwriting Limited; MPC Resolution Company LLC; Navigators (Asia) Limited; Navigators Corporate Underwriters Limited; Navigators Holdings (Europe) N.V.; Navigators Holdings (UK) Limited; Navigators Insurance Company; Navigators International Insurance Company Ltd.; Navigators Management Company, Inc.; Navigators Management (UK) Limited; Navigators N.V.; Navigators Specialty Insurance Company; Navigators Underwriting Agency Limited; Navigators Underwriting Limited; New BDM NV; New England Insurance Company; New England Reinsurance Corporation; New Ocean Insurance Co., Ltd.; NIC Investments (Chile) SpA; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Sentinel Insurance Company, Ltd; The Navigators Group, Inc.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company; Y-Risk, LLC.
Revised February 2021
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This report is submitted for the general information of the shareholders of the Funds referenced in this report. It is not authorized for distribution to persons who are not shareholders of one or more Funds referenced in this report unless preceded or accompanied by a current prospectus for the relevant Funds. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of any Fund listed in this report. Such offering is only made by prospectus, which includes details as to the offering price and other material information.
The information cannot be used or relied upon for the purpose of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.
Investors should carefully consider a fund’s investment objectives, risks, charges and expenses. This and other important information is contained in the fund’s prospectus and summary prospectus, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.
Exchange-traded products are distributed by ALPS Distributors, Inc. (ALPS). Advisory services are provided by Lattice Strategies LLC (Lattice) and Mellon Investments Corporation. Hartford Funds refers to Hartford Funds Distributors, LLC, Member FINRA, Hartford Funds Management Company, LLC, and Lattice, which are not affiliated with ALPS.
ETFSAR-MLT21 05/21 222177 LAT002013 Printed in U.S.A.
Item 2. Code of Ethics.
Not applicable for this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable for this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable for this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable for this semi-annual filing.
Item 6. Investments.
(a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the semi-annual report filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees during the period covered by this report.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
LATTICE STRATEGIES TRUST | ||||||
Date: June 7, 2021 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Date: June 7, 2021 | By: | /s/ James E. Davey | ||||
James E. Davey | ||||||
President and Chief Executive Officer |
Date: June 7, 2021 | By: | /s/ David A. Naab | ||||
David A. Naab | ||||||
Treasurer (Principal Financial Officer and Principal Accounting Officer) |